Valuing options in Heston's stochastic volatility model: another analytical approach
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Publication:642746
DOI10.1155/2011/198469zbMATH Open1223.91038OpenAlexW2141926061WikidataQ58690285 ScholiaQ58690285MaRDI QIDQ642746FDOQ642746
Authors: 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
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Cites Work
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Cited In (12)
- Title not available (Why is that?)
- On the convergence of He and Zhu's new series solution for pricing options with the Heston model
- A comparative study on time-efficient methods to price compound options in the Heston model
- Valuation of power options under Heston's stochastic volatility model
- ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS
- An approximated European option price under stochastic elasticity of variance using Mellin transforms
- Title not available (Why is that?)
- Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
- Artificial boundary method for European pricing option problem
- Semi-analytical prices for lookback and barrier options under the Heston model
- Weak approximation of Heston model by discrete random variables
- A new simple tree approach for the Heston's stochastic volatility model
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