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Valuing a European option under the Heston model with interest rate - MaRDI portal

Valuing a European option under the Heston model with interest rate

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Publication:6621062

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DOI10.1007/978-3-031-42847-0_16MaRDI QIDQ6621062

Unnamed Author, Khalid Hilal, A. El Hajaji

Publication date: 17 October 2024

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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