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High-order approximations to call option prices in the Heston model
High-order approximations to call option prices in the Heston model
2020
Marc Lagunas Merino
Raúl Merino
Josep Vives
Archil Gulisashvili
Keywords:
Mathematical optimization
Call option
Heston model
Mathematical economics
original research
Economics
Valuation of options
Stochastic volatility
Computational finance
high order
Correction
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