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European journal of operational research : EJOR
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The complete Gaussian kernel in the multi-factor Heston model : option pricing and implied volatility applications
Recchioni, Maria Cristina
;
Iori, Giulia
;
Tedeschi, Gabriele
- In:
European journal of operational research : EJOR
293
(
2021
)
1
,
pp. 336-360
Persistent link: https://www.econbiz.de/10012502484
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An explicitly solvable Heston model with stochastic interest rate
Recchioni, M. C.
;
Sun, Y.
- In:
European journal of operational research : EJOR
249
(
2016
)
1
,
pp. 359-377
Persistent link: https://www.econbiz.de/10011435870
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A fast calibrating volatility model for option pricing
Date, Paresh
;
Islyaev, Suren
- In:
European journal of operational research : EJOR
243
(
2015
)
2
,
pp. 599-606
Persistent link: https://www.econbiz.de/10010510013
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