Toulouse 1 Capitole Publications

On the Heston Model with Stochastic Volatility

Alziary Chassat, Bénédicte and Takac, Peter (2017) On the Heston Model with Stochastic Volatility: Analytic Solutions and Complete Markets. TSE Working Paper, n. 17-796, Toulouse

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Official URL: http://tse-fr.eu/pub/31628
Item Type: Monograph (Working Paper)
Sub-title: Analytic Solutions and Complete Markets
Language: English
Date: April 2017
Place of Publication: Toulouse
Uncontrolled Keywords: Heston model, stochastic volatility, Black-Scholes equation, European call option, degenerate parabolic equation, terminal value problem, holomorphic extension, analytic solution
Subjects: B- ECONOMIE ET FINANCE
Divisions: Toulouse School of Economics - TSE
Institution: Université Toulouse 1 Capitole
Site: UT1
Date Deposited: 20 Apr 2017 09:53
Last Modified: 20 Apr 2017 09:53
OAI ID: oai:tse-fr.eu:31628
URI: http://publications.ut-capitole.fr/id/eprint/23717

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