Valuation of power options under Heston’s stochastic volatility model

Jerim Kim; Bara Kim; Kyoung-Sook Moon; In-Suk Wee

Year of publication:	2012
Authors:	Kim, Jerim ; Kim, Bara ; Moon, Kyoung-sook ; Wee, In-suk
Published in:	Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 36.2012, 11, p. 1796-1813
Subject:	Power option \| Stochastic volatility \| Heston model \| Change of numeraire \| Fourier transform \| Optionspreistheorie \| Option pricing theory \| Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility

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