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~person:"ALY, S. M. OULD"
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Heston model
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monotonicity
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ALY, S. M. OULD
Antoci, Angelo
5
Borghesi, Simone
5
Galeotti, Marcello
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Wang, Xingchun
4
Zhu, Song-Ping
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ZHU, SONG-PING
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Blau, Benjamin
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Chen, Wenting
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Gaspar, Raquel M.
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Neftci, Salih N.
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Pogorui, Anatoliy A.
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Rodríguez-Dagnino, Ramón M.
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Sequeira, Bernardo
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International Journal of Theoretical and Applied Finance (IJTAF)
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MONOTONICITY OF PRICES IN HESTON MODEL
ALY, S. M. OULD
- In:
International Journal of Theoretical and Applied …
16
(
2013
)
03
,
pp. 1350016-1
-off function; in particular we consider European
put
options
. We show that the price is increasing in the constant term in the …
Persistent link: https://www.econbiz.de/10010661005
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