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

Xinfeng RuanWenjun Zhang
Published in: J. Comput. Appl. Math. (2019)
Keyphrases
  • closed form
  • probabilistic model
  • closed form expressions
  • multiscale
  • monte carlo
  • bayesian framework
  • random fields
  • black scholes model
  • parameter estimation
  • gaussian mixture