The complete Gaussian kernel in the multi-factor Heston...

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The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications

Recchioni, Maria Cristina, Iori, Giulia, Tedeschi, Gabriele, Ouellette, Michelle S.
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Journal:
European Journal of Operational Research
DOI:
10.1016/j.ejor.2020.11.050
Date:
December, 2020
File:
PDF, 640 KB
2020
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