Full and fast calibration of the Heston stochastic volatility model (Q1694942)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Full and fast calibration of the Heston stochastic volatility model |
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Full and fast calibration of the Heston stochastic volatility model (English)
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6 February 2018
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pricing
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Heston model
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model calibration
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optimisation
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Levenberg-Marquardt method
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