Precision-tuning and hybrid pricer for closed-form...

Concurrency and Computation: Practice and Experience 2016 / 03 Vol. 28; Iss. 3

Precision-tuning and hybrid pricer for closed-form solution-based Heston calibration

Brugger, Christian, Liu, Gongda, De Schryver, Christian, Wehn, Norbert
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Volume:
28
Language:
english
Journal:
Concurrency and Computation: Practice and Experience
DOI:
10.1002/cpe.3694
Date:
March, 2016
File:
PDF, 606 KB
english, 2016
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