A parsimonious multi-asset Heston model : calibration and derivative pricing
Georgi Dimitroff; Stefan Lorenz; Alexander Szimayer
| Year of publication: |
2011
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|---|---|
| Authors: | Dimitroff, Georgi ; Lorenz, Stefan ; Szimayer, Alexander |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 14.2011, 8, p. 1299-1333
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| Subject: | Heston model | multi-asset | option pricing | calibration | correlation | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Korrelation | Correlation | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009541994