Calibration of the Heston stochastic local volatility model: A finite volume scheme
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DOI: 10.1142/S2424786320500486
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Cited by:
- Xin‐Jiang He & Sha Lin, 2023. "Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 951-967, July.
- Chen Zhang & Giovanni Amici & Marco Morandotti, 2024. "Calibrating the Heston Model with Deep Differential Networks," Papers 2407.15536, arXiv.org.
- Ivan Guo & Grégoire Loeper & Shiyi Wang, 2022. "Calibration of local‐stochastic volatility models by optimal transport," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 46-77, January.
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Keywords
Heston stochastic local volatility model; Heston model; local volatility model; derivatives pricing; finite volume scheme;All these keywords.
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