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Listar por palabra clave "Heston model"

RiuNet: Repositorio Institucional de la Universidad Politécnica de Valencia

Listar por palabra clave "Heston model"

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    An ETD Method for American Options under the Heston Model 
    Company Rossi, Rafael; Egorova, Vera N.; Jódar Sánchez, Lucas Antonio; Fuster Valls, Ferran (TECH SCIENCE PRESS, 4924 BALBOA BLVD, # 488, ENCINO, USA, CA, 91316, 2020)
    [EN] A numerical method for American options pricing on assets under the Heston stochastic volatility model is developed. A preliminary transformation is applied to remove the mixed derivative term avoiding known numerical ...