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"The Heston stochastic volatility model with piecewise constant parameters ..."

Daniel Guterding, Wolfram Boenkost (2018)

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DOI: 10.1016/J.CAM.2018.04.054

access: closed

type: Journal Article

metadata version: 2020-02-20

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Daniel Guterding, Wolfram Boenkost:
The Heston stochastic volatility model with piecewise constant parameters - efficient calibration and pricing of window barrier options. J. Comput. Appl. Math. 343: 353-362 (2018)

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