A note on ``A closed-form pricing formula for European options under the Heston model with stochastic interest rate'' (Q1713146)
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scientific article; zbMATH DE number 7006458
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| English | A note on ``A closed-form pricing formula for European options under the Heston model with stochastic interest rate'' |
scientific article; zbMATH DE number 7006458 |
Statements
A note on ``A closed-form pricing formula for European options under the Heston model with stochastic interest rate'' (English)
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24 January 2019
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European option
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affine model
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Heston-CIR
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0.9751129
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0.9167134
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0.9154511
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0.9084942
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0.89600956
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0.89451754
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0.88610584
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