A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model
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Cites work
- scientific article; zbMATH DE number 1414609 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- On the pricing of forward starting options in Heston's model on stochastic volatility
- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
Cited in
(5)- Valuing options in Heston's stochastic volatility model: another analytical approach
- A second-order weak approximation of Heston model by discrete random variables
- On Singularities in the Heston Model
- Comment on: A note on the discontinuity problem in Heston's stochastic volatility model
- Pricing joint claims on an asset and its realized variance in stochastic volatility models
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