A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model

Luca Vincenzo Ballestra, Graziella Pacelli () and Francesco Zirilli

Journal of Banking & Finance, 2007, vol. 31, issue 11, 3420-3437

Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378-4266(07)00133-1
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:31:y:2007:i:11:p:3420-3437

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().