Browsing ECO_Articles by Author "c3615d18-246d-4a8e-bb9a-c27dd08df9fb"
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The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications
Recchioni, Maria Cristina; Iori, Giulia; Tedeschi, Gabriele; Ouellette, Michelle S. (2020-12-05)In this paper, we propose two new representation formulas for the conditional marginal probability den- sity of the multi-factor Heston model. The two formulas express the marginal density as a convolution with suitable ... -
The complete gaussian kernel in the multifactor Heston model: option pricing and implied volatility applications
Recchioni, Maria Cristina; Iori, Giulia; Tedeschi, Gabriele; Ouellette, Michelle S. Elsevier (2020-12-05)In this paper, we propose two new representation formulas for the conditional marginal probability density of the multi-factor Heston model. The two formulas express the marginal density as a convolution with suitable ...