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A note on "A closed-form pricing formula for European options under the Heston model with stochastic interest rate".
Xinfeng Ruan
Wenjun Zhang
Published in:
J. Comput. Appl. Math. (2019)
Keyphrases
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closed form
probabilistic model
closed form expressions
multiscale
monte carlo
bayesian framework
random fields
black scholes model
parameter estimation
gaussian mixture