The complete Gaussian kernel in the multi-factor Heston model : option pricing and implied volatility applications
Maria Cristina Recchioni, Giulia Iori, Gabriele Tedeschi, Michelle S. Ouellette
| Year of publication: |
2021
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|---|---|
| Authors: | Recchioni, Maria Cristina ; Iori, Giulia ; Tedeschi, Gabriele ; Ouellette, Michelle S. |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 293.2021, 1 (16.8.), p. 336-360
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| Subject: | Finance | Option pricing | Stochastic volatility models | Variance risk premium | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Risikoprämie | Risk premium | Optionsgeschäft | Option trading | Derivat | Derivative | Portfolio-Management | Portfolio selection | Black-Scholes-Modell | Black-Scholes model |