Search Results - subject:"Heston's Model"

Calibration risk : illustrating the impact of calibration risk under the Heston model

Guillaume, Florence; Schoutens, Wim - In: Review of derivatives research 15 (2012) 1, pp. 57-79

Persistent link: https://www.econbiz.de/10009627433

On the valuation of fader and discrete barrier options in Heston's stochastic volatility model

Griebsch, Susanne; Wystup, Uwe - In: Quantitative Finance 11 (2011) 5, pp. 693-709

We focus on closed-form option pricing in Heston's stochastic volatility model, where closed-form formulas exist only for a few option types. Most of these closed-form solutions are constructed from characteristic functions. We follow this closed-form approach and derive multivariate...

Persistent link: https://www.econbiz.de/10009208219

A note on essential smoothness in the Heston model

Forde, Martin; Jacquier, Antoine; Mijatović, Aleksandar - In: Finance and Stochastics 15 (2011) 4, pp. 781-784

Persistent link: https://www.econbiz.de/10009400212

A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING

DIMITROFF, GEORGI; LORENZ, STEFAN; SZIMAYER, ALEXANDER - In: International Journal of Theoretical and Applied … 14 (2011) 08, pp. 1299-1333

We propose a parsimonious multi-asset Heston model and provide an easy-to-implement calibration algorithm. The model is …

Persistent link: https://www.econbiz.de/10009415366

SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?

ZHU, SONG-PING; CHEN, WEN-TING - In: International Journal of Theoretical and Applied … 14 (2011) 08, pp. 1279-1297

the Heston model should be held longer than the case of the same option priced under the traditional Black-Scholes model …

Persistent link: https://www.econbiz.de/10009415370

Forward and future implied volatility

Glasserman, Paul; Wu, Qi - In: International journal of theoretical and applied finance 14 (2011) 3, pp. 407-432

Persistent link: https://www.econbiz.de/10009154904

A parsimonious multi-asset Heston model : calibration and derivative pricing

Dimitroff, Georgi; Lorenz, Stefan; Szimayer, Alexander - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1299-1333

Persistent link: https://www.econbiz.de/10009541994

Should an American option be exercised earlier or later if volatility is not assumed to be a constant?

Zhu, Song-ping; Chen, Wen-ting - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1279-1297

Persistent link: https://www.econbiz.de/10009541996

A Variance Reduction Technique Based on Integral Representations

Heath, David; Platen, Eckhard - Finance Discipline Group, Business School - 2002

volatility models, including the Heston model. …

Persistent link: https://www.econbiz.de/10004984608

A fast Fourier transform technique for pricing American options under stochastic volatility

Zhylyevskyy, Oleksandr - In: Review of Derivatives Research 13 (2010) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10010867544