Open AccessAmerican Options in the Volterra Heston Model
Author(s) -
Etienne Chevalier,
Sergio Pulido,
Elizabeth Zúñiga
Publication year - 2022
Publication title -
siam journal on financial mathematics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.251
H-Index - 33
ISSN - 1945-497X
DOI - 10.1137/21m140674x
Subject(s) - heston model , valuation of options , mathematics , convergence (economics) , volterra integral equation , kernel (algebra) , laplace transform , affine transformation , stochastic volatility , econometrics , economics , integral equation , mathematical analysis , sabr volatility model , volatility (finance) , pure mathematics , economic growth , combinatorics
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