SWIFT Calibration of the Heston Model
In the present work, the SWIFT method for pricing European options is extended to Heston model calibration. The computation of the option price gradient is simplified thanks to the knowledge of the characteristic function in closed form. The proposed calibration machinery appears to be extremely fas...
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| Principais autores: | , |
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| Format: | Artigo |
| Jezik: | Inglês |
| Izdano: |
MDPI AG
2021-03-01
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| Serija: | Mathematics |
| Teme: | |
| Online dostop: | https://www.mdpi.com/2227-7390/9/5/529 |
| Oznake: |
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