Asymptotic expansion formula of option price under multifactor Heston model
Kazuki Nagashima; Tsz-Kin Chung; Keiichi Tanaka
| Year of publication: |
2014
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|---|---|
| Authors: | Nagashima, Kazuki ; Chung, Tsz-Kin ; Tanaka, Keiichi |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 21.2014, 4, p. 351-396
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| Subject: | Asymptotic expansion | Malliavin calculus | Multifactor Heston model | Option pricing | Stochastic volatility | Variance swap | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | CAPM | Black-Scholes-Modell | Black-Scholes model | Derivat | Derivative |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010511560