Precision-tuning and hybrid pricer for closed-form solution-based Heston calibration

Christian Brugger, Gongda Liu, Christian de Schryver, Norbert Wehn. Precision-tuning and hybrid pricer for closed-form solution-based Heston calibration. Concurrency - Practice and Experience, 28(3):892-904, 2016. [doi]

Authors

Christian Brugger

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Gongda Liu

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Christian de Schryver

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Norbert Wehn

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