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Alziary, Bénédicte
and Takáč, 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: | Institut de mathématiques de Toulouse, TSE-R (Toulouse) |
| Institution: | Université Toulouse 1 Capitole |
| Site: | UT1 |
| Date Deposited: | 20 Apr 2017 09:53 |
| Last Modified: | 11 Sep 2023 12:09 |
| OAI Identifier: | oai:tse-fr.eu:31628 |
| URI: | https://publications.ut-capitole.fr/id/eprint/23717 |
