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Digital Call Option Pricing in Heston Model by FernandoFierroGonzalez is a document available to read on EtoBox.

What is Digital Call Option Pricing in Heston Model about?

1) The document analyzes pricing digital call options under the Heston stochastic volatility model. 2) In the Heston model, variance follows the same square-root process as the Cox-Ingersoll-Ross short rate model. 3) The author presents an analytical solution for pricing digital options based on Heston

Author

FernandoFierroGonzalez

Language

EN