Kim, Jerim; Kim, Bara; Moon, Kyoung-Sook; Wee, In-Suk - In: Journal of Economic Dynamics and Control 36 (2012) 11, pp. 1796-1813
We derive semi-analytic solutions for power option prices under the Heston model; specifically, the pricing formula is shown to be valid whenever the power of the underlying asset price has a finite moment. Unlike the majority of stochastic volatility models, there remains a significant problem...