Stationary Heston model : calibration and pricing of exotics using product recursive quantization
Year of publication: |
2022
|
---|---|
Authors: | Lemaire, Vincent ; Montes, Thibaut ; Pagès, Gilles |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 4, p. 611-629
|
Subject: | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Modellierung | Scientific modelling |
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