Stationary Heston model: calibration and pricing of exotics using product recursive quantization (Q5079352)
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scientific article; zbMATH DE number 7532600
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| English | Stationary Heston model: calibration and pricing of exotics using product recursive quantization |
scientific article; zbMATH DE number 7532600 |
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Stationary Heston model: calibration and pricing of exotics using product recursive quantization (English)
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27 May 2022
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stochastic volatility
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Heston model
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Gamma distribution
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exotic derivatives
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0.7954280972480774
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0.7686319947242737
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0.7648908495903015
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0.7642600536346436
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0.758885383605957
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