Stefan Lorenz

DZ Bank AG

60265 Frankfurt am Main

Germany

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Scholarly Papers (1)

1.

A Parsimonious Multi-Asset Heston Model: Calibration and Derivative Pricing

Number of pages: 46 Posted: 19 Jul 2009 Last Revised: 03 Mar 2011
Independent, DZ Bank AG and University of Hamburg - Faculty of Economics and Business Administration
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Abstract:

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Heston model, multi-asset, option pricing, calibration, correlation