Efficient pricing and reliable calibration in the Heston model (Q4902546)
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scientific article; zbMATH DE number 6125925
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| English | Efficient pricing and reliable calibration in the Heston model |
scientific article; zbMATH DE number 6125925 |
Statements
EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL (English)
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16 January 2013
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option pricing
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Heston model
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calibration
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Fourier transform
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0.8148582577705383
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0.802161455154419
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0.7877676486968994
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0.7872227430343628
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0.7870190143585205
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