Weighted average price in the Heston stochastic volatility model
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Publication:1693861
DOI10.1007/s10203-017-0197-5zbMath1398.91611OpenAlexW2753522235MaRDI QIDQ1693861
Publication date: 31 January 2018
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-017-0197-5
Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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