A decomposition formula for option prices in the Heston model and applications to option pricing approximation
type: Item
instance of: scholarly article
title: A decomposition formula for option prices in the Heston model and applications to option pricing approximation
zbMATH Open document ID: 1259.91081
author: Elisa Alòs
published in: Finance and Stochastics
publication date: 2012-11-15T00:00:00Z
full work available at URL: http://hdl.handle.net/10230/6063
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B70
zbMATH DE Number: 6106813
zbMATH Keywords: stochastic volatility
zbMATH Keywords: Heston model
zbMATH Keywords: Itô calculus
MaRDI profile type: Publication
OpenAlex ID: W2054388137
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DOI: 10.1007/S00780-012-0177-0
description: scientific article; zbMATH DE number 6106813