Precision-tuning and hybrid pricer for closed-form solution-based Heston calibration-Reference-Cited by-同舟云学术

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Precision-tuning and hybrid pricer for closed-form solution-based Heston calibration

Published:2015-10-13 Issue:3 Volume:28 Page:892-904
ISSN:1532-0626
Container-title:Concurrency and Computation: Practice and Experience
language:en
Short-container-title:Concurrency Computat.: Pract. Exper.

Author:

Brugger Christian¹,Liu Gongda¹,De Schryver Christian¹,Wehn Norbert¹

Affiliation:

1. Microelectronic Systems Design Research Group; University of Kaiserslautern; Kaiserslautern Germany

Funder

Center of Mathematical and Computational Modelling (CM)2

Deutsche Forschungsgemeinschaft

Publisher

Wiley

Subject

Computational Theory and Mathematics,Computer Networks and Communications,Computer Science Applications,Theoretical Computer Science,Software

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/cpe.3694/fullpdf

Reference21 articles.

1. A closed-form solution for options with stochastic volatility with applications to bond and currency options;Heston;Review of Financial Studies,1993

2. Lecture Notes in Computer Science;Aichinger,2011

3. Brugger C Liu G de Schryver C Wehn N A systematic methodology for analyzing closed-form Heston pricer regarding their accuracy and runtime Proceedings of the 7th Workshop on High Performance Computational Finance WHPCF '14 IEEE Press: Piscataway, NJ, USA 2014 9 16

4. Option valuation using the fast fourier transform;Carr;Journal of Computational Finance,1999

5. Accelerating exotic option pricing and model calibration using GPUs;Bernemann;Available at SSRN 1753596,2011

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Workshop on high‐performance computational finance;Concurrency and Computation: Practice and Experience;2015-12-21

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