A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model

B-Tier

Journal: Journal of Banking & Finance

Year: 2007

Volume: 31

Issue: 11

Pages: 3420-3437

Authors (3)

Ballestra, Luca Vincenzo (Alma Mater Studiorum - Univers...) Pacelli, Graziella (Università Politecnica delle M...) Zirilli, Francesco (not in RePEc)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count