EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL
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Publication:4902546
DOI10.1142/S0219024912500501zbMath1282.91338OpenAlexW3125325797MaRDI QIDQ4902546
Publication date: 16 January 2013
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024912500501
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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Uses Software
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