A closed-form pricing formula for European options under the Heston model with stochastic interest rate (Q1743938)
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scientific article; zbMATH DE number 6860295
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| English | A closed-form pricing formula for European options under the Heston model with stochastic interest rate |
scientific article; zbMATH DE number 6860295 |
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A closed-form pricing formula for European options under the Heston model with stochastic interest rate (English)
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16 April 2018
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European option
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series solution
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stochastic interest rate
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convergence
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0.8992413878440857
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0.8091681003570557
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0.8025951385498047
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0.7986851930618286
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