Daniel Guterding

Technische Hochschule Mittelhessen

University of Applied Sciences

Wilhelm-Leuschner-Stra├če 13

Friedberg, 61169

Germany

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Scholarly Papers (1)

1.

The Heston Stochastic Volatility Model with Piecewise Constant Parameters - Efficient Calibration and Pricing of Window Barrier Options

Number of pages: 18 Posted: 24 Jul 2017 Last Revised: 27 Jan 2019
Daniel Guterding and Wolfram Boenkost
Technische Hochschule Mittelhessen and Lucht Probst Associates GmbH
Downloads 119 (246,661)

Abstract:

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Heston model, time-dependent parameters, characteristic function, window barrier options