A NOVEL ANALYTICAL APPROACH FOR PRICING DISCRETELY SAMPLED GAMMA SWAPS IN THE HESTON MODEL

Publisher: Cambridge University Press

E-ISSN: 1446-8735|57|3|244-268

ISSN: 1446-1811

Source: ANZIAM Journal, Vol.57, Iss.3, 2016-01, pp. : 244-268

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract