Valuation of power options under Heston's stochastic volatility model (Q311037)
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scientific article; zbMATH DE number 6630513
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of power options under Heston's stochastic volatility model |
scientific article; zbMATH DE number 6630513 |
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Valuation of power options under Heston's stochastic volatility model (English)
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28 September 2016
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power option
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stochastic volatility
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Heston model
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change of numeraire
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Fourier transform
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