Raul Merino

University of Barcelona - Faculty of Mathematics

Barcelona, 08007

Spain

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

High-Order Approximations to Call Option Prices in the Heston Model

Journal of Computational Finance, Vol. 24, No. 1, 2020
Number of pages: 20 Posted: 19 Jan 2021
Ohio University, University of Oslo - Department of Mathematics, University of Barcelona - Faculty of Mathematics and University of Barcelona
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Abstract:

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computational finance, Heston model, option pricing, price approximations, stochastic volatility models, vanilla options

2.

High-order Approximations to Call Option Prices in the Heston Model

Journal of Computational Finance, Forthcoming
Number of pages: 20 Posted: 13 Jul 2020
affiliation not provided to SSRN, University of Oslo - Department of Mathematics, University of Barcelona - Faculty of Mathematics and University of Barcelona
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Abstract:

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computational finance, Heston model, option pricing, price approximations, stochastic volatility models, vanilla options