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A note on essential smoothness in the Heston model
Essential smoothness large deviation principle Heston model
2011/10/9
Abstract: This note studies an issue relating to essential smoothness that can arise when the theory of large deviations is applied to a certain option pricing formula in the Heston model. The note id...
It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment $s^{*}$ can be obtained by solving (numerically) a simple equation. This yields a leading ...