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Valuing options in Heston's stochastic volatility model: Another analytical approach
Frontczak, Robert - 2009
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...
Persistent link: https://www.econbiz.de/10010301794
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Modular pricing of options : an application of Fourier analysis
Zhu, Jianwei - 2000
Persistent link: https://www.econbiz.de/10001499875
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Representation of American option prices under Heston stochastic volatility dynamics using integral transforms
Chiarella, Carl; Ziogas, Andrew; Ziveyi, Jonathan - In: Contemporary quantitative finance : essays in honour of …, (pp. 281-315). 2010
Persistent link: https://www.econbiz.de/10008749199
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Applications of Fourier transform to smile modeling : theory and implementation
Zhu, Jianwei - 2010 - 2., ed.
Persistent link: https://www.econbiz.de/10003834547
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Valuing options in Heston's stochastic volatility model : another analytical approach
Frontczak, Robert - 2009 - Version [2]
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...
Persistent link: https://www.econbiz.de/10003921631
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On some classes of continuous time series models and their use in financial economics
Surulescu, Nicolae Mircea - 2010
Persistent link: https://www.econbiz.de/10008935502
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An analysis of American options under heston stochastic volatility and jump-diffusion dynamics
Cheang, Gerald; Chiarella, Carl; Ziogas, Andrew - 2009
Persistent link: https://www.econbiz.de/10009233319
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Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
Bayraktar, Erhan; Young, Virginia R. - In: Annals of finance 4 (2008) 4, pp. 399-429
Persistent link: https://www.econbiz.de/10003737188
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Modular pricing of options
Zhu, Jianwei - 1999
Persistent link: https://www.econbiz.de/10013268732
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A note on forward and backward partial differential equations for derivative contracts with forward as underlyings
Esser, Angelika - 2001
Persistent link: https://www.econbiz.de/10013444437