A parsimonious multi-asset Heston model : calibration and derivative pricing
A. Szimayer; G. Dimitroff; S. Lorenz
| Year of publication: |
2009
|
|---|---|
| Authors: | Szimayer, Alexander ; Dimitroff, Geogri ; Lorenz, Stefan |
| Publisher: |
Kaiserslautern : Fraunhofer ITWM |
| Subject: | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Theorie | Theory |
| Description of contents: | Table of Contents [gbv.de] |
| Extent: | 38 S. graph. Darst. |
|---|---|
| Series: | Berichte des Fraunhofer ITWM. - Kaiserslautern : ITWM, ISSN 1434-9973, ZDB-ID 2436528-2. - Vol. 171 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Forschungsbericht ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Classification: | Investition, Finanzierung ; Wahrscheinlichkeitsrechnung |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009688323