Pricing Power Options within the Heston Framework
Numerous studies have presented evidence that certain financial assets may exhibit stochastic volatility or jumps, which cannot be captured within the Black-Scholes environment. This work investigates the valuation of power options when the variance follows the Heston model of stochastic volatility....
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
BİSKA Bilisim Company
2013-03-01
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| Series: | New Trends in Mathematical Sciences |
| Subjects: | |
| Online Access: | https://ntmsci.com/ajaxtool/GetArticleByPublishedArticleId?PublishedArticleId=1 |