On calibration of stochastic and fractional stochastic volatility models (Q323465)
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scientific article; zbMATH DE number 6636523
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| English | On calibration of stochastic and fractional stochastic volatility models |
scientific article; zbMATH DE number 6636523 |
Statements
On calibration of stochastic and fractional stochastic volatility models (English)
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7 October 2016
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fractional stochastic volatility model
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Heston model
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option pricing
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calibration
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optimization
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0.8252896666526794
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0.8250268697738647
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0.8141201138496399
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0.8137722611427307
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