A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING (Q3225031)

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

    Statements

    title
    A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING (English)
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    author
    Georgi Dimitroff
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    Stefan Lorenz
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    Alexander Szimayer
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    publication date
    13 March 2012
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    zbMATH Keywords
    heston model
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    multi-asset
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    option pricing
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    calibration
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    correlation
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    Identifiers

    zbMATH DE Number
    6014433
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