We are concerned with the valuation of European options in Heston's stochastic volatility model with correlation. Based on Mellin transforms we present new closed-form solutions for the price of European options and hedging parameters. In contrast to Fourier-based approaches where the...

Financial models consider often stochastic processes satisfying certain differential equations. We show that the solution of a particular geometric Brownian motion observed in discrete time is asymptotically equivalent with a Gaussian white noise model.