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
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
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