Work

Calibration of Stochastic Volatility Models Via Second-order Approximation: the Heston Case

Year: 2015

Type: article

Source: International Journal of Theoretical and Applied Finance

DOI: 10.1142/s0219024915500363

Authors: ELISA ALÒS, RAFAEL DE SANTIAGO, JOSEP VIVES

Institutions: Universitat Pompeu Fabra, Barcelona School of Economics, IESE Business School, Universitat de Barcelona

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W336594138

FWCI: 2.553

Cites: 20

Cited by: 22

Related to: 10