Pages that link to "Item:Q4902546"
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The following pages link to EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL (Q4902546):
Displaying 23 items.
- Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes (Q274846) (← links)
- A multivariate stochastic volatility model with applications in the foreign exchange market (Q1621630) (← links)
- Perfect hedging in rough Heston models (Q1634189) (← links)
- Full and fast calibration of the Heston stochastic volatility model (Q1694942) (← links)
- Conformal accelerations method and efficient evaluation of stable distributions (Q2023071) (← links)
- Heston model: the variance swap calibration (Q2247916) (← links)
- An alternative form to calibrate the correlated Stein-Stein option pricing model (Q2322457) (← links)
- Calibration and simulation of Heston model (Q2364763) (← links)
- Calibrating the model parameters in pricing using the trust region method (Q2634410) (← links)
- Efficient calibration of the Hull White model (Q2864616) (← links)
- A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING (Q3225031) (← links)
- Magic Points in Finance: Empirical Integration for Parametric Option Pricing (Q4607050) (← links)
- Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space (Q4635240) (← links)
- Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model (Q4682470) (← links)
- Pitfalls of the Fourier Transform Method in Affine Models, and Remedies (Q4682701) (← links)
- Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method (Q4683049) (← links)
- A finite volume–alternating direction implicit method for the valuation of American options under the Heston model (Q5030557) (← links)
- Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models (Q5030643) (← links)
- SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS (Q5061497) (← links)
- Pricing discrete barrier options and credit default swaps under Lévy processes (Q5245896) (← links)
- Closed-form convexity and cross-convexity adjustments for Heston prices (Q5300440) (← links)
- SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS (Q5377002) (← links)
- Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates (Q5397431) (← links)
