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Regularization effect on model calibration : vimarsana.com
Regularization effect on model calibration : vimarsana.com
Regularization effect on model calibration
This paper compares two methods to calibrate two popular models that are widely used for stochastic volatility modeling (ie, the SABR and Heston models) with
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Model Calibration ,
Option Pricing ,
Optimisation ,
Forecast ,
Original Research ,