Markovian projection onto a Heston model
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Publication:3639925
DOI10.21314/JCF.2009.199zbMath1178.91187MaRDI QIDQ3639925
Alexandre Antonov, Timur Misirpashaev, Vladimir V. Piterbarg
Publication date: 26 October 2009
Published in: The Journal of Computational Finance (Search for Journal in Brave)
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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