scientific article; zbMATH DE number 6769081

zbMath1399.91128MaRDI QIDQ5354450

Xin-Jiang He, Song-Ping Zhu

Publication date: 4 September 2017

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

European optionsHeston modelproof of convergenceminimal entropy martingale measure

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility ⋮ A closed-form pricing formula for European options under the Heston model with stochastic interest rate

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