Negrea, Bogdan; Bojesteanu, Elena - In: Theoretical and Applied Economics 11(528)(supplement) (2008) 11(528)(supplement), pp. 180-185
This article proposes a different point of view on the pricing in the stochastic volatility models when the underlying price is uncorrelated with its volatility. Heston (1993) established a closed-form formula of the European option price. This paper proposes a new closed-form formula of the...