"The complete Gaussian kernel in the multi-factor Heston model: Option ..."

Maria Cristina Recchioni et al. (2021)

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DOI: 10.1016/J.EJOR.2020.11.050

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type: Journal Article

metadata version: 2022-01-03

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Maria Cristina Recchioni, Giulia Iori, Gabriele Tedeschi, Michelle S. Ouellette:
The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications. Eur. J. Oper. Res. 293(1): 336-360 (2021)

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