Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model
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DOI: 10.1007/s10690-014-9189-4
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Cited by:
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- Yanhong Zhong & Guohe Deng, 2019. "Geometric Asian Options Pricing under the Double Heston Stochastic Volatility Model with Stochastic Interest Rate," Complexity, Hindawi, vol. 2019, pages 1-13, January.
- Recchioni, Maria Cristina & Iori, Giulia & Tedeschi, Gabriele & Ouellette, Michelle S., 2021. "The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications," European Journal of Operational Research, Elsevier, vol. 293(1), pages 336-360.
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Keywords
Asymptotic expansion; Malliavin calculus; Multifactor Heston model; Option pricing; Stochastic volatility; Variance swap;All these keywords.
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