Calibrating Option Pricing Models with Heuristics
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Yiran Cui & Sebastian del Ba~no Rollin & Guido Germano, 2015. "Full and fast calibration of the Heston stochastic volatility model," Papers 1511.08718, arXiv.org, revised May 2016.
- Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016. "A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases," Working Papers 2016-14, University of Sydney, School of Economics.
- Silvia Centanni, 2011. "Computing option values by pricing kernel with a stochatic volatility model," Working Papers 05/2011, University of Verona, Department of Economics.
- Marianna Lyra, 2010. "Heuristic Strategies in Finance – An Overview," Working Papers 045, COMISEF.
- Stefan Haring & Ronald Hochreiter, 2015. "Efficient and robust calibration of the Heston option pricing model for American options using an improved Cuckoo Search Algorithm," Papers 1507.08937, arXiv.org.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-03-20 (All new papers)
- NEP-CMP-2010-03-20 (Computational Economics)
- NEP-ORE-2010-03-20 (Operations Research)
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