A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model (Q5459530)
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scientific article; zbMATH DE number 5269306
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| English | A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model |
scientific article; zbMATH DE number 5269306 |
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A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model (English)
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29 April 2008
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Heston model
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discontinuity
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0.98242205
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0.88846576
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0.88839674
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0.88595814
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0.8844793
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0.88184524
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0.8796399
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0.8792701
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