Modern Logarithms For The Heston Model
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DOI: 10.1142/S0219024907004111
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References listed on IDEAS
- Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv, December.
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- P. Friz & S. Gerhold & A. Gulisashvili & S. Sturm, 2010. "On refined volatility smile expansion in the Heston model," Papers 1001.3003, arXiv.org, revised Nov 2010.
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Keywords
Heston model; branch-cut; Lewis-Lipton formula;All these keywords.
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