Calibration of stochastic volatility models via second-order approximation : the Heston case
Elisa Alòs; Rafael de Santiago; Josep Vives
| Year of publication: |
2015
|
|---|---|
| Authors: | Alòs, Elisa ; Santiago Hernando, Rafael de ; Vives, Josep |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 6, p. 1-31
|
| Subject: | Option pricing | stochastic volatility | calibration of implied volatility surface | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011403898