On calibration of stochastic and fractional stochastic volatility models
Milan Mrázek, Jan Pospíšil, Tomáš Sobotka (NTIS – New Technologies for the Information Society, Faculty of Applied Sciences, University of West Bohemia, Plzeň, Czech Republic)
| Year of publication: |
1 November 2016
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| Authors: | Mrázek, Milan ; Pospíšil, Jan ; Sobotka, Tomáš |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 254.2016, 3 (1.11.), p. 1036-1046
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| Subject: | Fractional stochastic volatility model | Heston model | Option pricing | Calibration | Optimization | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2016.04.033 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011522408