A gradient-based calibration method for the Heston model
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Publication:6625126
DOI10.1080/00207160.2024.2353189MaRDI QIDQ6625126
Claudia Totzeck, Unnamed Author, M. Ehrhardt
Publication date: 28 October 2024
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Corporate finance (dividends, real options, etc.) (91G50)
Cites Work
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- Optimization with PDE Constraints
- Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
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- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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