Stationary Heston model: calibration and pricing of exotics using product recursive quantization - Archive ouverte HAL Access content directly
Journal Articles Quantitative Finance Year : 2022

Stationary Heston model: calibration and pricing of exotics using product recursive quantization

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Vincent Lemaire
Thibaut Montes

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hal-03891139 , version 1 (09-12-2022)

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Vincent Lemaire, Thibaut Montes, Gilles Pagès. Stationary Heston model: calibration and pricing of exotics using product recursive quantization. Quantitative Finance, 2022, 22 (4), pp.611-629. ⟨10.1080/14697688.2021.2023205⟩. ⟨hal-03891139⟩
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