ALY, S. M. OULD - In: International Journal of Theoretical and Applied … 16 (2013) 03, pp. 1350016-1
In this article, we study the price monotonicity in the parameters of the Heston model for a contract with a convex pay-off function; in particular we consider European put options. We show that the price is increasing in the constant term in the drift of the variance process and decreasing in...