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A closed-form pricing formula for European options under the Heston model with stochastic interest rate.

Xin-Jiang HeSong-Ping Zhu
Published in: J. Comput. Appl. Math. (2018)
Keyphrases
  • closed form
  • black scholes model
  • iterative procedure
  • probabilistic model
  • bayesian networks
  • closed form expressions