Full and fast calibration of the Heston stochastic volatility model
Year of publication: |
1 December 2017
|
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Authors: | Cui, Yiran ; Baño Rollin, Sebastian del ; Germano, Guido |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 263.2017, 2 (1.12.), p. 625-638
|
Subject: | Pricing | Heston model | Model calibration | Optimisation | Levenberg-Marquardt method | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Experiment |
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