Numerical simulation of the Heston Model under stochastic correlation
Year of publication: |
March 2018
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Authors: | Teng, Long ; Ehrhardt, Matthias ; Günther, Michael |
Published in: |
International Journal of Financial Studies : open access journal. - Basel : MDPI, ISSN 2227-7072, ZDB-ID 2704235-2. - Vol. 6.2018, 1, p. 1-16
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Subject: | Heston model | stochastic correlation process | Ornstein-Uhlenbeck process | quadraticexponential scheme | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Korrelation | Correlation | Simulation | Volatilität | Volatility |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/ijfs6010003 [DOI] hdl:10419/195670 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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