A decomposition formula for option prices in the Heston model and applications to option pricing approximation (Q1761451)
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scientific article; zbMATH DE number 6106813
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A decomposition formula for option prices in the Heston model and applications to option pricing approximation |
scientific article; zbMATH DE number 6106813 |
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A decomposition formula for option prices in the Heston model and applications to option pricing approximation (English)
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15 November 2012
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stochastic volatility
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Heston model
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Itô calculus
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