Listar por autor "Grzelak, Lech A."
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Uncertainty quantification and Heston model
Suárez Taboada, María; Witteveen, Jeroen A. S.; Grzelak, Lech A.; Oosterlee, Cornelis W. (SpringerOpen, 2018-07)[Abstract]: In this paper, we study the impact of the parameters involved in Heston model by means of Uncertainty Quantification. The Stochastic Collocation Method already used for example in computational fluid dynamics, ...