On calibration of stochastic and fractional stochastic volatility models (Q323465): Difference between revisions
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| Property / zbMATH Keywords | |||
fractional stochastic volatility model | |||
| Property / zbMATH Keywords: fractional stochastic volatility model / rank | |||
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Heston model | |||
| Property / zbMATH Keywords: Heston model / rank | |||
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| Property / zbMATH Keywords | |||
option pricing | |||
| Property / zbMATH Keywords: option pricing / rank | |||
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calibration | |||
| Property / zbMATH Keywords: calibration / rank | |||
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optimization | |||
| Property / zbMATH Keywords: optimization / rank | |||
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| Property / full work available at URL: https://doi.org/10.1016/j.ejor.2016.04.033 / rank | |||
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Latest revision as of 23:23, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On calibration of stochastic and fractional stochastic volatility models |
scientific article |
Statements
On calibration of stochastic and fractional stochastic volatility models (English)
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7 October 2016
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fractional stochastic volatility model
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Heston model
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option pricing
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calibration
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optimization
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