Calibration of stochastic volatility models via second-order approximation : the Heston case
Year of publication: |
2015
|
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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 | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
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