The Heston stochastic volatility model with piecewise constant parameters - efficient calibration and pricing of window barrier options.

Mon, 01 Jan 2018 00:00:00 +0100

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)