On the pricing of forward starting options in Heston’s model on stochastic volatility
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Susanne Griebsch & Uwe Wystup, 2011.
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More about this item
KeywordsForward starting options; Heston’s model; stochastic volatility; cliquet options; option pricing; Girsanov’s theorem;
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