Stationary Heston model: calibration and pricing of exotics using product recursive quantization (Q5079352): Difference between revisions

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Latest revision as of 03:28, 29 July 2024

scientific article; zbMATH DE number 7532600
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English
Stationary Heston model: calibration and pricing of exotics using product recursive quantization
scientific article; zbMATH DE number 7532600

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    Stationary Heston model: calibration and pricing of exotics using product recursive quantization (English)
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    27 May 2022
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    stochastic volatility
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    Heston model
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    Gamma distribution
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    exotic derivatives
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