Methodology for stochastic volatility process calibration application to the CAC 40 index (Q4922640): Difference between revisions

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Latest revision as of 12:24, 6 July 2024

scientific article; zbMATH DE number 6170054
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English
Methodology for stochastic volatility process calibration application to the CAC 40 index
scientific article; zbMATH DE number 6170054

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    Methodology for stochastic volatility process calibration application to the CAC 40 index (English)
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    3 June 2013
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    stochastic volatility
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    Heston process
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    implicit volatility
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    calibration
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    adjustment test
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    CAC 40 index option
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