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Pricing perpetual timer options under Heston Model by finite difference method: Theory and implementation

vddluinfyush
In this paper a finite difference method (FDM) is provided for pricing perpetual timer options under the Heston volatility model. Considering the degeneracy of the pricing equation. we first prove the existence and uniqueness of the solution of the pricing problem with a new notion of boundary conditions at degenerate boundary and the infinity. Then we discuss the choice of artificial... https://yeswellneses.shop/product-category/baby-food/
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