High-order approximations to call option prices in the Heston model
Archil Gulisashvili, Marc Lagunas-Merino, Raúl Merino and Josep Vives
| Year of publication: |
2020
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|---|---|
| Authors: | Gulisashvili, Archil ; Lagunas-Merino, Marc ; Merino, Raúl ; Vives, Josep |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 24.2020, 1, p. 83-102
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| Subject: | computational finance | Heston model | option pricing | price approximations | stochastic volatility models | vanilla options | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionsgeschäft | Option trading | Derivat | Derivative |