Efficient pricing and reliable calibration in the Heston model
Year of publication: |
2012
|
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Authors: | Levendorskij, Sergej Z. |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 7, p. 1-44
|
Subject: | Option pricing | Heston model | calibration | Fourier transform | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
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