A decomposition formula for option prices in the Heston model and applications to option pricing approximation
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00780-012-0177-0.pdf
Reference17 articles.
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4. Antonelli, F., Scarlatti, S.: Pricing options under stochastic volatility: a power series approach. Finance Stoch. 13, 269–303 (2009)
5. Ball, C.A., Roma, A.: Stochastic volatility option pricing. J. Financ. Quant. Anal. 29, 589–607 (1994)
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