A decomposition formula for option prices in the Heston model and applications to option pricing approximation (Q1761451)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A decomposition formula for option prices in the Heston model and applications to option pricing approximation |
scientific article |
Statements
A decomposition formula for option prices in the Heston model and applications to option pricing approximation (English)
0 references
15 November 2012
0 references
stochastic volatility
0 references
Heston model
0 references
Itô calculus
0 references
