Geodesic
On the convergence of He and Zhu's new series solution for pricing options with the Heston model
Song-Ping Zhu1 ; Xinjiang He1 ; Song-Ping Zhu ; Xinjiang He
1University of Wollongong
Acta mathematica Universitatis Comenianae, Tome 86 (2017) no. 2, pp. 321-327 
Song-Ping Zhu; Xinjiang He; Song-Ping Zhu; Xinjiang He. On the convergence of He and Zhu's new series solution for pricing options with the Heston model. Acta mathematica Universitatis Comenianae, Tome 86 (2017) no. 2, pp. 321-327. http://geodesic.mathdoc.fr/item/AMUC_2017_86_2_a11/
@article{AMUC_2017_86_2_a11,
     author = {Song-Ping Zhu and Xinjiang He and Song-Ping Zhu and Xinjiang He},
     title = { On the convergence of {He} and {Zhu's} new series solution for pricing options with the {Heston} model},
     journal = {Acta mathematica Universitatis Comenianae},
     pages = {321--327},
     year = {2017},
     volume = {86},
     number = {2},
     url = {http://geodesic.mathdoc.fr/item/AMUC_2017_86_2_a11/}
}
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Voir la notice de l'article provenant de la source Comenius University

In this paper, a modified formula for European options and a set of complete convergence proofs for the solution that would cover the entire time horizon of a European option contact are presented under the Heston model with minimal entropy martingale measure. Although He and Zhu (2016) have worked on this model, they only provided a converged solution with a condition imposed on the time to expiry. The new solution presented here is only slightly modified in its form. But, it is accompanied with the proof of convergence of the solution for the entire span of the time horizon of an option.