Closed-form convexity and cross-convexity adjustments for Heston prices (Q5300440)
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scientific article; zbMATH DE number 6181852
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Closed-form convexity and cross-convexity adjustments for Heston prices |
scientific article; zbMATH DE number 6181852 |
Statements
Closed-form convexity and cross-convexity adjustments for Heston prices (English)
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27 June 2013
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stochastic volatility
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numerical methods for option pricing
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equity options
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volatility modelling
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