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Time-dependent Heston model

Published 23 Feb 2014 in q-fin.PR and q-fin.CP | (1402.5679v1)

Abstract: This work presents an exact solution to the generalized Heston model, where the model parameters are assumed to have linear time dependence The solution for the model in expressed in terms of confluent hypergeometric functions.

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Authors (1)

  1. G. S. Vasilev 

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