Numerical techniques for the Heston collocated volatility model
Fabien Le Floc'h and Cornelis W. Oosterlee
| Year of publication: |
2020
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|---|---|
| Authors: | Le Floc'h, Fabien ; Oosterlee, Cornelis Willebrordus |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 24.2020, 3, p. 59-110
|
| Subject: | stochastic collocation | implied volatility | quantitative finance | Heston model | alternative direction implicit (ADI) scheme | Monte Carlo method | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2020.401 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012544158