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q-fin.CP2023
Fast Barrier Option Pricing by the COS BEM Method in Heston Model
A. Aimi, C. Guardasoni, L. Ortiz-Gracia +1
In this work, the Fourier-cosine series (COS) method has been combined with the Boundary Element Method (BEM) for a fast evaluation of barrier option prices. After a description of…
q-fin.CP2021
SWIFT calibration of the Heston model
Eudald Romo, Luis Ortiz-Gracia
In the present work, the European option pricing SWIFT method is extended for Heston model calibration. The computation of the option price gradient is simplified thanks to the kno…