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- W3124162568 abstract "By means of classical Ito's calculus we decompose option prices as the sum of the classical Black-Scholes formula with volatility parameter equal to the root-mean-square future average volatility plus a term due by correlation and a term due to the volatility of the volatility. This decomposition allows us to develop first and second-order approximation formulas for option prices and implied volatilities in the Heston volatility framework, as well as to study their accuracy. Numerical examples are given." @default.
- W3124162568 created "2021-02-01" @default.
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- W3124162568 date "2009-12-01" @default.
- W3124162568 modified "2023-09-23" @default.
- W3124162568 title "A decomposition formula for option prices in the Heston model and applications to option pricing approximation" @default.
- W3124162568 hasPublicationYear "2009" @default.
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