Listar UJI: Investigación por fuente "European Journal of Operational Research, 2020"
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The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications
(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 ...