On the pricing of forward starting options in Heston's model on stochastic volatility.

Susanne Kruse Ulrich Nögel

Published in: Finance Stochastics (2005)

Keyphrases

probabilistic model
computational model
stochastic model
objective function
probability distribution
high level
statistical model
experimental data
hybrid model
neural network
bayesian networks
management system
markov random field
mathematical model
formal model
option pricing