The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Álvaro Leitao, J. Lars Kirkby and Luis Ortiz-Gracia
| Year of publication: |
2021
|
|---|---|
| Authors: | Leitao, Álvaro ; Kirkby, J. Lars ; Ortiz-Garcia, Luis |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 24.2021, 4, p. 71-114
|
| Subject: | Heston model | continuous time Markov chain (CTMC) | Markov chain approximation | regime switching | option pricing | calibration | wavelets | SWIFT | stochastic volatility | Asian options | variance swaps | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2020.398 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012544164