On the Heston Model with Stochastic Volatility: Analytic Solutions and Complete Markets

Bénédicte Alziary Chassat and Peter Takac

No 17-796, TSE Working Papers from Toulouse School of Economics (TSE)

Keywords: Heston model; stochastic volatility; Black-Scholes equation; European call option; degenerate parabolic equation; terminal value problem; holomorphic extension; analytic solution (search for similar items in EconPapers)
Date: 2017-04
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