The Heston stochastic volatility model with piecewise constant parameters -- efficient calibration and pricing of window barrier options (Q1643855)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Heston stochastic volatility model with piecewise constant parameters -- efficient calibration and pricing of window barrier options |
scientific article |
Statements
The Heston stochastic volatility model with piecewise constant parameters -- efficient calibration and pricing of window barrier options (English)
0 references
20 June 2018
0 references
Heston model
0 references
characteristic function
0 references
window barrier options
0 references
0 references
