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The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications.

Maria Cristina RecchioniGiulia IoriGabriele TedeschiMichelle S. Ouellette
Published in: Eur. J. Oper. Res. (2021)
Keyphrases
  • probabilistic model
  • option pricing
  • decision making
  • multi objective
  • rbf network
  • gaussian kernel
  • black scholes model