2012
DOI: 10.1016/j.jedc.2012.05.005
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Valuation of power options under Heston's stochastic volatility model

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Cited by 19 publications
(10 citation statements)
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“…are positively correlated if 0.5 < H < 1, uncorrelated if H = 0.5, and negatively correlated if 0 < H < 0.5. At the end of this section, we give some notations, function spaces, and conclusions to prove our main results (for details, see [13][14][15]).…”
Section: The Increments Of M H (T)mentioning
confidence: 93%
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“…are positively correlated if 0.5 < H < 1, uncorrelated if H = 0.5, and negatively correlated if 0 < H < 0.5. At the end of this section, we give some notations, function spaces, and conclusions to prove our main results (for details, see [13][14][15]).…”
Section: The Increments Of M H (T)mentioning
confidence: 93%
“…where λ is a real constant, P is a physical probability measure, and {F t , t ≥ 0} denotes the P-completion of the filtration generated by (B(t), B H (t)). An mfBm {M H (t), t ≥ 0} has the following properties [12,13] 1. M H (0) = 0 and E[M H (t)] = 0 for any t ≥ 0.…”
Section: Preliminariesmentioning
confidence: 99%
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