Pricing derivatives in stochastic volatility models using the finite difference method

By Tino Kluge. 2002

60 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/d6d521334abb537929fe200568c537a6c330f84d

Citations in the corpus

• Asymptotic formulae for implied volatility in the Heston model (2009, unknown): “Concerning the pricing step, accurate algorithms rely either on PDE (see [20], [23]), or accurate quadrature [2] methods.”