The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model.

Martin Forde Antoine Jacquier Roger Lee

Published in: SIAM J. Financial Math. (2012)

Keyphrases

hierarchical structure
probabilistic model
theoretical framework
computational model
formal model
prior knowledge
mathematical model
learning algorithm
statistical model
parameter estimation
input data
cost function
long term
objective function
genetic algorithm
management system
hybrid model