Matches in SemOpenAlex for { <https://semopenalex.org/work/W2252409050> ?p ?o ?g. }
Showing items 1 to 69 of
69
with 100 items per page.
- W2252409050 abstract "We are concerned with the valuation of European options in Heston's stochastic volatility model with correlation. Based on Mellin transforms we present new closed-form solutions for the price of European options and hedging parameters. In contrast to Fourier-based approaches where the transformation variable is usually the log-stock price at maturity, our framework focuses on transforming the current stock price. Our solution has the nice feature that similar to the approach of Carr and Madan (1999) it requires only a single integration. We make numerical tests to compare our results to Heston's solution based on Fourier inversion and investigate the accuracy of the derived pricing formulae." @default.
- W2252409050 created "2016-06-24" @default.
- W2252409050 creator A5015924206 @default.
- W2252409050 date "2009-01-01" @default.
- W2252409050 modified "2023-09-24" @default.
- W2252409050 title "Valuing options in Heston's stochastic volatility model: Another analytical approach" @default.
- W2252409050 hasPublicationYear "2009" @default.
- W2252409050 type Work @default.
- W2252409050 sameAs 2252409050 @default.
- W2252409050 citedByCount "0" @default.
- W2252409050 crossrefType "posted-content" @default.
- W2252409050 hasAuthorship W2252409050A5015924206 @default.
- W2252409050 hasConcept C10138342 @default.
- W2252409050 hasConcept C102519508 @default.
- W2252409050 hasConcept C13290067 @default.
- W2252409050 hasConcept C134306372 @default.
- W2252409050 hasConcept C149782125 @default.
- W2252409050 hasConcept C162324750 @default.
- W2252409050 hasConcept C186027771 @default.
- W2252409050 hasConcept C187625094 @default.
- W2252409050 hasConcept C194483076 @default.
- W2252409050 hasConcept C24189920 @default.
- W2252409050 hasConcept C28826006 @default.
- W2252409050 hasConcept C33923547 @default.
- W2252409050 hasConcept C85393063 @default.
- W2252409050 hasConcept C91602232 @default.
- W2252409050 hasConcept C93045229 @default.
- W2252409050 hasConceptScore W2252409050C10138342 @default.
- W2252409050 hasConceptScore W2252409050C102519508 @default.
- W2252409050 hasConceptScore W2252409050C13290067 @default.
- W2252409050 hasConceptScore W2252409050C134306372 @default.
- W2252409050 hasConceptScore W2252409050C149782125 @default.
- W2252409050 hasConceptScore W2252409050C162324750 @default.
- W2252409050 hasConceptScore W2252409050C186027771 @default.
- W2252409050 hasConceptScore W2252409050C187625094 @default.
- W2252409050 hasConceptScore W2252409050C194483076 @default.
- W2252409050 hasConceptScore W2252409050C24189920 @default.
- W2252409050 hasConceptScore W2252409050C28826006 @default.
- W2252409050 hasConceptScore W2252409050C33923547 @default.
- W2252409050 hasConceptScore W2252409050C85393063 @default.
- W2252409050 hasConceptScore W2252409050C91602232 @default.
- W2252409050 hasConceptScore W2252409050C93045229 @default.
- W2252409050 hasLocation W22524090501 @default.
- W2252409050 hasOpenAccess W2252409050 @default.
- W2252409050 hasPrimaryLocation W22524090501 @default.
- W2252409050 hasRelatedWork W1480776121 @default.
- W2252409050 hasRelatedWork W1495236110 @default.
- W2252409050 hasRelatedWork W1524328244 @default.
- W2252409050 hasRelatedWork W1666181725 @default.
- W2252409050 hasRelatedWork W1997637918 @default.
- W2252409050 hasRelatedWork W2037891356 @default.
- W2252409050 hasRelatedWork W2099671905 @default.
- W2252409050 hasRelatedWork W2145467037 @default.
- W2252409050 hasRelatedWork W2351258123 @default.
- W2252409050 hasRelatedWork W2377850773 @default.
- W2252409050 hasRelatedWork W2751433950 @default.
- W2252409050 hasRelatedWork W2752712227 @default.
- W2252409050 hasRelatedWork W2932369759 @default.
- W2252409050 hasRelatedWork W3124374244 @default.
- W2252409050 hasRelatedWork W3124954000 @default.
- W2252409050 hasRelatedWork W3125049236 @default.
- W2252409050 hasRelatedWork W3149673414 @default.
- W2252409050 hasRelatedWork W3184762579 @default.
- W2252409050 hasRelatedWork W3186551614 @default.
- W2252409050 hasRelatedWork W3195000000 @default.
- W2252409050 isParatext "false" @default.
- W2252409050 isRetracted "false" @default.
- W2252409050 magId "2252409050" @default.
- W2252409050 workType "article" @default.