Full and fast calibration of the Heston stochastic volatility model-Reference-Cited by-同舟云学术

Full and fast calibration of the Heston stochastic volatility model

Published:2017-12 Issue:2 Volume:263 Page:625-638
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Cui Yiran,del Baño Rollin Sebastian,Germano Guido^ORCID

Funder

Economic and Social Research Council

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference39 articles.

1. Maximum likelihood estimation of stochastic volatility models;Aït-Sahalia;Journal of Financial Economics,2007

2. Thelittle Heston trap;Albrecher;Wilmott Magazine,2007

3. Simple and efficient simulation of the Heston stochastic volatility model;Andersen;Journal of Computational Finance,2008

4. LAPACK users’ guide;Anderson,1999

5. The put-call symmetry for American options in the Heston stochastic volatility model;Battauz;Mathematical Finance Letters,2014

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