Pricing American options in the Heston model : a close look at incorporating correlation
Peter Ruckdeschel, Tilman Sayer, and Alexander Szimayer
| Year of publication: |
2012
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|---|---|
| Authors: | Ruckdeschel, Peter ; Sayer, Tilman ; Szimayer, Alexander |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 20.2012, 3, p. 9-29
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| Subject: | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Korrelation | Correlation | Theorie | Theory |
| 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/10009725351