A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING

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Publication:3225031

DOI10.1142/S021902491100653XzbMath1233.91263OpenAlexW3124654226MaRDI QIDQ3225031

Stefan Lorenz, Georgi Dimitroff, Alexander Szimayer

Publication date: 13 March 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902491100653x




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