مرکز منطقه ای اطلاع رساني علوم و فناوري - A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model

Title of article :

A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model

Author/Authors :

Luca Vincenzo Ballestra، نويسنده , , Graziella Pacelli، نويسنده , , Francesco Zirilli، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2007

Pages :

From page :

3420

To page :

3437

Keywords :

Monte Carlo integration , stochastic volatility , Path-dependent options , Heston model

Journal title :

Journal of Banking and Finance

Serial Year :

2007

Journal title :

Journal of Banking and Finance

Record number :

194134

Link To Document :