Representation of American option prices under Heston stochastic volatility dynamics using integral transforms (Q3000886)
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scientific article; zbMATH DE number 5901445
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| English | Representation of American option prices under Heston stochastic volatility dynamics using integral transforms |
scientific article; zbMATH DE number 5901445 |
Statements
Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms (English)
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31 May 2011
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American option
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stochastic volatility model
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Fourier and Laplace transforms
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pricing equation
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Duhamel's principle
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Kolmogorov partial differential equation
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0.8873680830001831
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0.83757084608078
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0.8190774917602539
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0.8071608543395996
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