Option pricing in Heston model by means of weak approximations
We apply weak split-step approximations of the Heston model for evaluation of put and call option prices in this model.
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| Autori principali: | , |
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| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
Vilnius University Press
2013-12-01
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| Serie: | Lietuvos Matematikos Rinkinys |
| Soggetti: | |
| Accesso online: | https://www.journals.vu.lt/LMR/article/view/14883 |
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