Valuing options in Heston's stochastic volatility model: another analytical approach

DOI10.1155/2011/198469zbMath1223.91038WikidataQ58690285 ScholiaQ58690285MaRDI QIDQ642746

Robert Frontczak

Publication date: 27 October 2011

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2011/198469

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Weak approximation of Heston model by discrete random variables

Cites Work

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