Accelerating the calibration of stochastic volatility models
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More about this item
KeywordsStochastic Volatility Models; Calibration; Numerical Integration; Fast Fourier Transform;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-05-12 (All new papers)
- NEP-CFN-2007-05-12 (Corporate Finance)
- NEP-ETS-2007-05-12 (Econometric Time Series)
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