American Options in the Volterra Heston Model
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Publication:5080128
DOI10.1137/21M140674XzbMath1491.91140arXiv2103.11734OpenAlexW3138189471MaRDI QIDQ5080128
Elizabeth Zúñiga, Sergio Pulido, Etienne Chevalier
Publication date: 31 May 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2103.11734
Fourier-Laplace transformAmerican optionsrough volatilityRiccati-Volterra equationsVolterra Heston modelforward variance
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)
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