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A systematic methodology for analyzing closed-form Heston pricer regarding their accuracy and runtime.

Christian BruggerGongda LiuChristian de SchryverNorbert Wehn
Published in: WHPCF@SC (2014)
Keyphrases
  • closed form
  • iterative procedure
  • point correspondences
  • image sequences
  • closed form solutions
  • exponential family
  • variational inference
  • closed form expressions