An alternative form used to calibrate the Heston option pricing model
From MaRDI portal
Publication:2007219
DOI10.1016/j.camwa.2016.02.023zbMath1443.91292MaRDI QIDQ2007219
Publication date: 12 October 2020
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2016.02.023
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
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