Valuing Options in Heston's Stochastic Volatility Model: Another Analytical Approach
We are concerned with the valuation of European options in the Heston stochastic volatility model with correlation. Based on Mellin transforms, we present new solutions for the price of European options and hedging parameters. In contrast to Fourier-based approaches, where the transformation variabl...
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| Autor principal: | |
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| Formato: | Artigo |
| Lenguaje: | Inglês |
| Publicado: |
Wiley
2011-01-01
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| Colección: | Journal of Applied Mathematics |
| Acceso en línea: | http://dx.doi.org/10.1155/2011/198469 |
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