MONOTONICITY OF PRICES IN HESTON MODEL (Q2841333)

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MONOTONICITY OF PRICES IN HESTON MODEL
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    title
    MONOTONICITY OF PRICES IN HESTON MODEL (English)
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    publication date
    24 July 2013
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    Mathematics Subject Classification ID
    91G20
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    91G80
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    34F05
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    60H10
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    zbMATH DE Number
    6191020
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    zbMATH Keywords
    Heston model
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    price monotonicity
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    European put options
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    maximum principle
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    correlation
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