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most citedThe Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows

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q-fin.ST2008★ 42 cited

The escape problem under stochastic volatility: the Heston model

Jaume Masoliver, Josep Perello

We solve the escape problem for the Heston random diffusion model. We obtain exact expressions for the survival probability (which ammounts to solving the complete escape problem)…