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Journal of management science and engineering
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Orthogonal
polynomial
expansions
for the valuation of options under the stochastic volatility models with stochastic correlation
Tong, Kevin Z.
- In:
Journal of management science and engineering
9
(
2024
)
2
,
pp. 239-253
diffusions and therefore the option prices can be efficiently computed via
orthogonal
polynomial
expansions
. We take the Heston …
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