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Valuation of Options under Heston Stochastic Volatility Model Using Wavelets
Valuation of Options under Heston Stochastic Volatility Model Using Wavelets
Date
2018
Authors
Černá Dana
Finěk Václav
Journal Title
Journal ISSN
Volume Title
Publisher
IEEE
Abstract
Description
Subject(s)
Heston model
,
stochastic volatility
,
option pricing
,
wavelets
,
adaptive method
,
European call option
Citation
Item identifier
https://dspace.tul.cz/handle/15240/155682
https://doi.org/10.1109/MCSI.2017.12
ISSN
ISBN
978-1-5386-2820-1
Collections
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