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 |
| 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/10009701929