Monotonicity of prices in Heston model
Year of publication: |
2013
|
---|---|
Authors: | Aly, Sidi Mohamed Ould |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 3, p. 1-23
|
Subject: | Heston model | monotonicity | put options | maximum principle | correlation | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Korrelation | Correlation |
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