A gradient-based calibration method for the Heston model-Reference-Cited by-同舟云学术

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A gradient-based calibration method for the Heston model

Published:2024-05-20 Issue: Volume: Page:1-19
ISSN:0020-7160
Container-title:International Journal of Computer Mathematics
language:en
Short-container-title:International Journal of Computer Mathematics

Author:

Clevenhaus Anna¹^ORCID,Totzeck Claudia²^ORCID,Ehrhardt Matthias³^ORCID

Affiliation:

1. Applied and Computational Mathematics, Bergische Universität Wuppertal, Wuppertal, Germany

2. Optimization, Bergische Universität Wuppertal, Wuppertal, Germany

3. Applied and Computational Mathematics, Bergische Universität Wuppertal, Wuppertal, Germany

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/00207160.2024.2353189

Reference18 articles.

1. Space Mapping: The State of the Art

2. Z. Bučková M. Ehrhardt and M. Günther Fichera theory and its application in finance in Progress in Industrial Mathematics at ECMI 2014 G. Russo V. Capasso G. Nicosia and V. Romano eds. Springer International Publishing Cham 2016 pp. 103–111.

3. A. Clevenhaus, C. Totzeck, and M. Ehrhardt, A study of the effects of different boundary conditions on the variance of the Heston model, in Progress in Industrial Mathematics at ECMI 2023 , K. K. Burnecki and M. Teuerle, ed., Springer International Publishing, Heidelberg-Berlin, 2024.

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

5. A new calibration of the Heston Stochastic Local Volatility Model and its parallel implementation on GPUs

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