Asymptotic expansion formula of option price under multifactor Heston model (Q2398581)
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scientific article; zbMATH DE number 6760873
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| English | Asymptotic expansion formula of option price under multifactor Heston model |
scientific article; zbMATH DE number 6760873 |
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Asymptotic expansion formula of option price under multifactor Heston model (English)
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16 August 2017
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asymptotic expansion
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Malliavin calculus
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multifactor Heston model
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option pricing
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stochastic volatility
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variance swap
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0.8337661027908325
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0.8304744958877563
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0.8158185482025146
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0.8104801177978516
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