Analytical approximation of pricing average options under the Heston model
Akira Yamazaki
| Year of publication: |
2012
|
|---|---|
| Authors: | Yamazaki, Akira |
| Published in: |
Recent advances in financial engineering 2011: proceedings of the International Workshop on Finance 2011. - Singapore : World Scientific, ISBN 981-4407-32-1. - 2012, p. 203-220
|
| Subject: | Gram-Charlier expansion | Girsanov transform | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastische Volatilität | Stochastic volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009573427