✦ LIBER ✦

A decomposition formula for option prices in the Heston model and applications to option pricing approximation

✍ Scribed by Elisa Alòs

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

A generalization of the Hull and White f

✍ Elisa Alòs 📂 Article 📅 2006 🏛 Springer-Verlag 🌐 English ⚖ 176 KB

Saddlepoint approximations to option pri

✍ Jian Xiong; Augustine Wong; Donna Salopek 📂 Article 📅 2005 🏛 Elsevier Science 🌐 English ⚖ 215 KB

A MULTINOMIAL APPROXIMATION FOR AMERICAN

✍ Ross A. Maller; David H. Solomon; Alex Szimayer 📂 Article 📅 2006 🏛 John Wiley and Sons 🌐 English ⚖ 281 KB

Maximum likelihood estimation of the Hes

✍ Francesca Mariani; Graziella Pacelli; Francesco Zirilli 📂 Article 📅 2007 🏛 Springer-Verlag 🌐 English ⚖ 798 KB

A numerical method to price exotic path-

✍ Luca Vincenzo Ballestra; Graziella Pacelli; Francesco Zirilli 📂 Article 📅 2007 🏛 Elsevier Science 🌐 English ⚖ 236 KB

A general framework for the derivation o

✍ Oleg Bondarenko; Iñaki R. Longarela 📂 Article 📅 2009 🏛 Springer US 🌐 English ⚖ 387 KB