Pricing American options in the Heston model : a close look on incorporating correlation

P. Ruckdeschel; T. Sayer; A. Szimayer

Year of publication:	2011
Authors:	Ruckdeschel, Peter ; Sayer, Tilman ; Szimayer, Alexander
Publisher:	Kaiserslautern : Fraunhofer Inst. für Techno- und Wirtschaftsmathematik, ITMW
Subject:	Optionspreistheorie \| Option pricing theory \| Volatilität \| Volatility \| Stochastischer Prozess \| Stochastic process \| Korrelation \| Correlation \| Theorie \| Theory \| Belegschaftsaktie

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