A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING (Q3225031)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6014433
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING |
scientific article; zbMATH DE number 6014433 |
Statements
A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING (English)
0 references
13 March 2012
0 references
heston model
0 references
multi-asset
0 references
option pricing
0 references
calibration
0 references
correlation
0 references
0 references
0.8972448
0 references
0.88784313
0 references
0.88531995
0 references
0.8832466
0 references
0.8832017
0 references
0.8783617
0 references
