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20072020
most citedModels with time-dependent parameters using transform methods: application to Heston's model

10 citations · 11 across the 4 of their papers we have counts for

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q-fin.CP2011★ 1 cited

Weighted Monte Carlo: Calibrating the Smile and Preserving Martingale Condition

Alberto Elices, Eduard Giménez

Weighted Monte Carlo prices exotic options calibrating the probabilities of previously generated paths by a regular Monte Carlo to fit a set of option premiums. When only vanilla c…