A decomposition formula for option prices in the Heston model and applications to option pricing approximation

Document Type: Working paper

Date: 2009-12-01

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Citation: Alòs, Elisa. A decomposition formula for option prices in the Heston model and applications to option pricing approximation. 2009
https://econ-papers.upf.edu/ca/paper.php?id=1188

Permanent link: http://hdl.handle.net/10230/6063

Author: Alòs, Elisa

Other authors: Universitat Pompeu Fabra. Departament d'Economia i Empresa

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• Economics and Business Working Papers Series: 1718