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EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL - MaRDI portal

EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL (Q4902546)

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scientific article; zbMATH DE number 6125925
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English
EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL
scientific article; zbMATH DE number 6125925

    Statements

    title
    EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL (English)
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    publication date
    16 January 2013
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    zbMATH Keywords
    option pricing
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    Heston model
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    calibration
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    Fourier transform
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    Identifiers

    zbMATH DE Number
    6125925
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    OpenAlex ID
    W3125325797
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