On the calibration of the 3/2 model (Q1734372): Difference between revisions

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+A new Fourier transform algorithm for value-at-risk
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+On the density of log-spot in the Heston volatility model
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+A new approach for option pricing under stochastic volatility
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+Full and fast calibration of the Heston stochastic volatility model
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+Options on realized variance by transform methods: a non-affine stochastic volatility model
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+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
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+Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
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+THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
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+Evaluating Derivatives
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Q5754573
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+An Algorithm for Least-Squares Estimation of Nonlinear Parameters
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+Option pricing with mean reversion and stochastic volatility
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+Publication:1734372