Full and fast calibration of the Heston stochastic volatility model
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Publication:1694942
DOI10.1016/j.ejor.2017.05.018zbMath1380.91106arXiv1511.08718OpenAlexW2963319432MaRDI QIDQ1694942
Guido Germano, Sebastian del Baño Rollin, Yiran Cui
Publication date: 6 February 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1511.08718
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic programming (90C15) Stochastic models in economics (91B70) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)
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Uses Software
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