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Pricing American Options in the Heston Model: A Close Look on Incorporating Correlation

P. Ruckdeschel, Tilman Sayer, Alexander Szimayer

2013.2.28Journal of Derivatives

DOI: 10.2139/ssrn.1797962

Abstract

Abstract is not available.

Citation format

RUCKDESCHEL, P.; SAYER, Tilman; SZIMAYER, Alexander. Pricing american options in the heston model: A close look on incorporating correlation. Journal of Derivatives, 2013, 20: 9–29.