Calibration risk: Illustrating the impact of calibration risk under the Heston model
Year of publication: |
2012
|
---|---|
Authors: | Guillaume, Florence ; Schoutens, Wim |
Published in: |
Review of Derivatives Research. - Springer. - Vol. 15.2012, 1, p. 57-79
|
Publisher: |
Springer |
Subject: | Heston model | Calibration | Model risk | Calibration risk | Exotic options |
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