"Full and fast calibration of the Heston stochastic volatility model."

Yiran Cui, Sebastian Del Bano Rollin, Guido Germano (2017)

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DOI: 10.1016/J.EJOR.2017.05.018

access: closed

type: Journal Article

metadata version: 2020-02-21

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Yiran Cui, Sebastian Del Bano Rollin, Guido Germano:
Full and fast calibration of the Heston stochastic volatility model. Eur. J. Oper. Res. 263(2): 625-638 (2017)

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