On the Class of Risk Neutral Densities under Heston’s Stochastic Volatility Model for Option Valuation
The celebrated Heston’s stochastic volatility (SV) model for the valuation of European options provides closed form solutions that are given in terms of characteristic functions. However, the numerical calibration of this five-parameter model, which is based on market option data, often remains a da...
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| Format: | Article |
| Language: | English |
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MDPI
2023
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| Online Access: | View Fulltext in Publisher View in Scopus |