On the convergence of He and Zhu's new series solution for pricing options with the Heston model (Q5354450)
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scientific article; zbMATH DE number 6769081
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| English | On the convergence of He and Zhu's new series solution for pricing options with the Heston model |
scientific article; zbMATH DE number 6769081 |
Statements
4 September 2017
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European options
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minimal entropy martingale measure
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proof of convergence
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Heston model
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0.7680611610412598
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0.7650114893913269
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0.7442584037780762
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0.7408065795898438
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0.7388167977333069
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