Approximation Behooves Calibration

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Standard

Approximation Behooves Calibration. / da Silva Ribeiro, André Manuel; Poulsen, Rolf.

I: Quantitative Finance Letters, Bind 1, Nr. 1, 2013, s. 36-40.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

da Silva Ribeiro, AM & Poulsen, R 2013, 'Approximation Behooves Calibration', Quantitative Finance Letters, bind 1, nr. 1, s. 36-40. https://doi.org/10.1080/21649502.2013.803781

APA

da Silva Ribeiro, A. M., & Poulsen, R. (2013). Approximation Behooves Calibration. Quantitative Finance Letters, 1(1), 36-40. https://doi.org/10.1080/21649502.2013.803781

Vancouver

da Silva Ribeiro AM, Poulsen R. Approximation Behooves Calibration. Quantitative Finance Letters. 2013;1(1):36-40. https://doi.org/10.1080/21649502.2013.803781

Author

da Silva Ribeiro, André Manuel ; Poulsen, Rolf. / Approximation Behooves Calibration. I: Quantitative Finance Letters. 2013 ; Bind 1, Nr. 1. s. 36-40.

Bibtex

@article{65287f3b67d14f99aa85f94a033cf03e,
title = "Approximation Behooves Calibration",
abstract = "Calibration based on an expansion approximation for option prices in the Heston stochastic volatility model gives stable, accurate, and fast results for S&P500-index option data over the period 2005–2009.",
author = "{da Silva Ribeiro}, {Andr{\'e} Manuel} and Rolf Poulsen",
year = "2013",
doi = "10.1080/21649502.2013.803781",
language = "English",
volume = "1",
pages = "36--40",
journal = "Quantitative Finance Letters",
issn = "2164-9502",
publisher = "Taylor & Francis",
number = "1",

}

RIS

TY - JOUR

T1 - Approximation Behooves Calibration

AU - da Silva Ribeiro, André Manuel

AU - Poulsen, Rolf

PY - 2013

Y1 - 2013

N2 - Calibration based on an expansion approximation for option prices in the Heston stochastic volatility model gives stable, accurate, and fast results for S&P500-index option data over the period 2005–2009.

AB - Calibration based on an expansion approximation for option prices in the Heston stochastic volatility model gives stable, accurate, and fast results for S&P500-index option data over the period 2005–2009.

U2 - 10.1080/21649502.2013.803781

DO - 10.1080/21649502.2013.803781

M3 - Journal article

VL - 1

SP - 36

EP - 40

JO - Quantitative Finance Letters

JF - Quantitative Finance Letters

SN - 2164-9502

IS - 1

ER -

ID: 44925180