Griebsch, Susanne; Wystup, Uwe - In: Quantitative Finance 11 (2011) 5, pp. 693-709
We focus on closed-form option pricing in Heston's stochastic volatility model, where closed-form formulas exist only for a few option types. Most of these closed-form solutions are constructed from characteristic functions. We follow this closed-form approach and derive multivariate...