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Monotonicity of prices in Heston model
2013 (English)In: International Journal of Theoretical and Applied Finance, ISSN 0219-0249, Vol. 16, 1350016- p.Article in journal (Refereed) Published
Abstract [en]

In this article, we study the price monotonicity in the parameters of the Heston model for a contract with a convex pay-off function; in particular we consider European put options. We show that the price is increasing in the constant term in the drift of the variance process and decreasing in the coefficient of the linear term in the drift of variance process. We also show that the price is increasing in the correlation for small values of the stock and decreasing for the large values.

Place, publisher, year, edition, pages
2013. Vol. 16, 1350016- p.
National Category
Probability Theory and Statistics
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URN: urn:nbn:se:uu:diva-218644DOI: 10.1142/S0219024913500167OAI: oai:DiVA.org:uu-218644DiVA: diva2:696355
Available from: 2014-02-13 Created: 2014-02-13 Last updated: 2017-12-06Bibliographically approved

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Ould Aly, Sidi Mohamed

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