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Results 1-1 of 1 (Search time: 0.002 seconds).
Valuation of power options under Heston's stochastic volatility model
Kim, Jerim; Kim, Bara;
Moon, Kyoung-Sook
; Wee, In-Suk
Article
Issue Date
2012
Citation
JOURNAL OF ECONOMIC DYNAMICS & CONTROL, v.36, no.11, pp.1796 - 1813
Publisher
ELSEVIER SCIENCE BV
1
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Author
Kim, Bara
1
Kim, Jerim
1
Moon, Kyoung Sook
1
Subject
Change of numeraire
1
FOREIGN-CURRENCY OPTIONS
1
Fourier transform
1
Heston model
1
Power option
1
Stochastic volatility
1
Date Issued
2012
1
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Article
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English
1
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Journal of Economic Dynamics and ...
1
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