Pages that link to "Item:Q1643855"
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The following pages link to The Heston stochastic volatility model with piecewise constant parameters -- efficient calibration and pricing of window barrier options (Q1643855):
Displaying 4 items.
- A comparative study on time-efficient methods to price compound options in the Heston model (Q316625) (← links)
- Fast reconstruction of time-dependent market volatility for European options (Q2027727) (← links)
- CALIBRATING LOCAL VOLATILITY MODELS WITH STOCHASTIC DRIFT AND DIFFUSION (Q5066306) (← links)
- First passage time density of an Ornstein–Uhlenbeck process with broken drift (Q5071667) (← links)