A parsimonious multi-asset Heston model : calibration and derivative pricing
Year of publication: |
2011
|
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Authors: | Dimitroff, Georgi ; Lorenz, Stefan ; Szimayer, Alexander |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 14.2011, 8, p. 1299-1333
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Subject: | Heston model | multi-asset | option pricing | calibration | correlation | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Volatilität | Volatility | Korrelation | Correlation |
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