Accelerating the calibration of stochastic volatility models
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- F. Gerlich & A. Giese & J. Maruhn & E. Sachs, 2012. "Parameter identification in financial market models with a feasible point SQP algorithm," Computational Optimization and Applications, Springer, vol. 51(3), pages 1137-1161, April.
- Susanne Griebsch & Uwe Wystup, 2011.
"On the valuation of fader and discrete barrier options in Heston's stochastic volatility model,"
Quantitative Finance, Taylor & Francis Journals, vol. 11(5), pages 693-709.
- Griebsch, Susanne & Wystup, Uwe, 2008. "On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility Model," CPQF Working Paper Series 17, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
- Manfred Gilli & Enrico Schumann, 2010. "Calibrating Option Pricing Models with Heuristics," Working Papers 030, COMISEF.
More about this item
KeywordsStochastic Volatility Models; Calibration; Numerical Integration; Fast Fourier Transform;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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