Full and fast calibration of the Heston stochastic volatility model (2017)

First Author: Cui Y

Attributed to: Systemic Risk Centre funded by ESRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1016/j.ejor.2017.05.018

Publication URI: http://dx.doi.org/10.1016/j.ejor.2017.05.018

Type: Journal Article/Review

Parent Publication: European Journal of Operational Research

Issue: 2