A closed-form pricing formula for European options under the Heston model with stochastic interest rate
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Publication:1743938
DOI10.1016/j.cam.2017.12.011zbMath1408.91215OpenAlexW2776015677MaRDI QIDQ1743938
Publication date: 16 April 2018
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://ro.uow.edu.au/cgi/viewcontent.cgi?article=1930&context=eispapers1
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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