A note on essential smoothness in the Heston model
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Publication:484213
DOI10.1007/s00780-011-0162-zzbMath1303.91175arXiv1107.4881OpenAlexW2153572005MaRDI QIDQ484213
Antoine Jacquier, Aleksandar Mijatović, Martin Forde
Publication date: 18 December 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1107.4881
Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)
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