Analytic solutions and complete markets for the Heston model with stochastic volatility (Q4553708)
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scientific article; zbMATH DE number 6969301
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| English | Analytic solutions and complete markets for the Heston model with stochastic volatility |
scientific article; zbMATH DE number 6969301 |
Statements
31 October 2018
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Heston model
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stochastic volatility
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Black-Scholes equation
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European call option
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degenerate parabolic equation
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terminal value problem
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holomorphic extension
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analytic solution
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0.7809591293334961
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0.7686368823051453
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0.7656731605529785
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0.7588979005813599
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