"Variational Formulation of American Option Prices in the Heston Model."

Damien Lamberton, Giulia Terenzi (2019)

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DOI: 10.1137/17M1158872

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type: Journal Article

metadata version: 2025-01-19

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Damien Lamberton, Giulia Terenzi:
Variational Formulation of American Option Prices in the Heston Model. SIAM J. Financial Math. 10(1): 261-308 (2019)

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