High-order approximations to call option prices in the Heston model-Reference-Cited by-同舟云学术

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High-order approximations to call option prices in the Heston model

Published:2020 Issue: Volume: Page:
ISSN:1460-1559
Container-title:The Journal of Computational Finance
language:
Short-container-title:JCF

Author:

Lagunas-Merino Marc,Merino Raúl,Vives Josep,Gulisashvili Archil

Publisher

Infopro Digital Services Limited

Subject

Applied Mathematics,Computer Science Applications,Finance

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Approximate option pricing under a two-factor Heston–Kou stochastic volatility model;Computational Management Science;2023-11-03

2. Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset;Finance Research Letters;2022-01

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