Option pricing in Heston model by means of weak approximations
We apply weak split-step approximations of the Heston model for evaluation of put and call option prices in this model.
Main Authors: | Antanas Lenkšas, Vigirdas Mackevičius |
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Format: | Article |
Language: | English |
Published: |
Vilnius University Press
2013-12-01
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Series: | Lietuvos Matematikos Rinkinys |
Subjects: | |
Online Access: | https://www.journals.vu.lt/LMR/article/view/14883 |
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