Stationary Heston model: calibration and pricing of exotics using product recursive quantization
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Publication:5079352
DOI10.1080/14697688.2021.2023205zbMath1491.91147arXiv2001.03101OpenAlexW2998823502MaRDI QIDQ5079352
Gilles Pagès, Thibaut Montes, Vincent Lemaire
Publication date: 27 May 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2001.03101
Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)
Uses Software
Cites Work
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