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A decomposition formula for option prices in the Heston model and applications to option pricing approximation

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  • Elisa Alòs

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    File URL: http://hdl.handle.net/10.1007/s00780-012-0177-0
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 16 (2012)
    Issue (Month): 3 (July)
    Pages: 403-422

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    Handle: RePEc:spr:finsto:v:16:y:2012:i:3:p:403-422

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    Related research

    Keywords: Stochastic volatility; Heston model; Itô calculus; 91B28; 91B70; G13;

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Eric Benhamou & Emmanuel Gobet & Mohammed Miri, 2010. "Expansion formulas for European options in a local volatility model," Post-Print hal-00325939, HAL.
    2. Eric Benhamou & Emmanuel Gobet & Mohammed Miri, 2009. "Smart expansion and fast calibration for jump diffusion," Post-Print hal-00200395, HAL.
    3. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, American Finance Association, vol. 42(2), pages 281-300, June.
    4. Ball, Clifford A. & Roma, Antonio, 1994. "Stochastic Volatility Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 29(04), pages 589-607, December.
    5. Alos, Elisa & Ewald, Christian-Oliver, 2007. "Malliavin differentiability of the Heston volatility and applications to option pricing," MPRA Paper 3237, University Library of Munich, Germany.
    6. Stein, Elias M & Stein, Jeremy C, 1991. "Stock Price Distributions with Stochastic Volatility: An Analytic Approach," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 4(4), pages 727-52.
    7. Fabio Antonelli & Sergio Scarlatti, 2009. "Pricing options under stochastic volatility: a power series approach," Finance and Stochastics, Springer, Springer, vol. 13(2), pages 269-303, April.
    8. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-43.
    9. E. Benhamou & E. Gobet & M. Miri, 2010. "Expansion Formulas For European Options In A Local Volatility Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., vol. 13(04), pages 603-634.
    10. E. Benhamou & E. Gobet & M. Miri, 2009. "Smart expansion and fast calibration for jump diffusions," Finance and Stochastics, Springer, Springer, vol. 13(4), pages 563-589, September.
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