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Option prices under stochastic volatility

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Publication:1761552
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DOI10.1016/j.aml.2012.07.014zbMath1262.91068OpenAlexW2003938830MaRDI QIDQ1761552

Yutian Li, Jiguang Han, Qiang Zhang, Ming Gao

Publication date: 15 November 2012

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2012.07.014


zbMATH Keywords

stochastic volatilityoption pricingHeston model


Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).


Related Items (6)

Stability of approximate solution mappings for generalized Ky Fan inequality ⋮ A new kernel-based classification algorithm for multi-label datasets ⋮ Option price with stochastic volatility for both fast and slow mean-reverting regimes ⋮ Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model ⋮ An integro-differential parabolic variational inequality arising from the valuation of double barrier American option ⋮ Computation of powered option prices under a general model for underlying asset dynamics




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