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Time-dependent Heston model by Vasilev, G. S. is a scholarly article available to read on EtoBox.

What is Time-dependent Heston model about?

This work presents an exact solution to the generalized Heston model, where the model parameters are assumed to have linear time dependence The solution for the model in expressed in terms of confluent hypergeometric functions.

Author

Vasilev, G. S.

Published

2014

Language

EN