Valuation of power options under Heston's stochastic volatility model
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DOI: 10.1016/j.jedc.2012.05.005
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Cited by:
- repec:eee:phsmap:v:490:y:2018:i:c:p:402-418 is not listed on IDEAS
- Legendre, François & Togola, Djibril, 2016.
"Explicit solutions to dynamic portfolio choice problems: A continuous-time detour,"
Economic Modelling,
Elsevier, vol. 58(C), pages 627-641.
- François Legendre & Djibril Togola, 2015. "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Working Papers hal-01117787, HAL.
- François Legendre & Djibril Togola, 2016. "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Post-Print hal-01342195, HAL.
- repec:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500244 is not listed on IDEAS
- repec:eee:apmaco:v:286:y:2016:i:c:p:257-264 is not listed on IDEAS
More about this item
Keywords
Power option; Stochastic volatility; Heston model; Change of numeraire; Fourier transform;JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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