Christian Brugger, Gongda Liu, Christian de Schryver, Norbert Wehn. A systematic methodology for analyzing closed-form Heston pricer regarding their accuracy and runtime. In David Daly, Matthew Dixon, José E. Moreira, editors, Proceedings of the 7th Workshop on High Performance Computational Finance, WHPCF '14, New Orleans, Louisiana, USA, November 16-21, 2014. pages 9-16, IEEE, 2014. [doi]
Abstract is missing.