Stationary Heston model: calibration and pricing of exotics using product recursive quantization-Reference-Cited by-同舟云学术

Stationary Heston model: calibration and pricing of exotics using product recursive quantization

Published:2022-02-18 Issue:4 Volume:22 Page:611-629
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Lemaire Vincent¹^ORCID,Montes Thibaut²^ORCID,Pagès Gilles¹^ORCID

Affiliation:

1. Laboratoire de Probabilités, Statistique et Modélisation, LPSM, Sorbonne Université, Campus Pierre et Marie Curie, case 158, 4 place Jussieu, F-75252 Paris Cedex 5, France

2. The Independent Calculation Agent, The ICA, 112 Avenue Kleber, 75116 Paris, France

Funder

Association Nationale de la Recherche

Société Générale

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2021.2023205

Reference42 articles.

1. On the discretization schemes for the CIR (and Bessel squared) processes

2. Iterative Procedures for Nonlinear Integral Equations

3. Efficient Simulation of the Heston Stochastic Volatility Model

4. A quantization algorithm for solving multidimensional discrete-time optimal stopping problems

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