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Missing parameters in option prices

Heston, Steven L. - 1992

Persistent link: https://www.econbiz.de/10000912009

A closed-form GARCH option valuation model

Heston, Steven L.; Nandi, Saikat - In: The review of financial studies 13 (2000) 3, pp. 585-625

Persistent link: https://www.econbiz.de/10001499745

A discrete-time two-factor model for pricing bonds and interest rate derivatives under Random volatility

Heston, Steven L.; Nandi, Saikat - 1999

Persistent link: https://www.econbiz.de/10001444589

A closed-form GARCH option pricing model

Heston, Steven L.; Nandi, Saikat - 1997

Persistent link: https://www.econbiz.de/10000985996

Preference-free option pricing with path-dependent volatility : a clsosed-form approach

Heston, Steven L.; Nandi, Saikat - 1999

Persistent link: https://www.econbiz.de/10001408069

A two-factor term structure model under GARCH volatility

Heston, Steven L.; Nandi, Saikat - In: The journal of fixed income 13 (2003) 1, pp. 87-95

Persistent link: https://www.econbiz.de/10001782469

The pricing kernel in options

Heston, Steven L.; Jacobs, Kris; Kim, Hyung Joo - 2023

Persistent link: https://www.econbiz.de/10014385050

Option momentum

Heston, Steven L.; Jones, Christopher S.; Khorram, Mehdi; … - In: The journal of finance : the journal of the American … 78 (2023) 6, pp. 3141-3192

Persistent link: https://www.econbiz.de/10014437686

Option Momentum

Heston, Steven L.; Li, Shuaiqi - 2021

This paper improves continuous-time variance swap approximation formulas to derive exact returns on benchmark VIX option portfolios. The new methodology preserves the variance swap interpretation that decomposes returns into realized variance and option implied-variance.We apply this new...

Persistent link: https://www.econbiz.de/10013249009

Complex logarithms in Heston-like models

Lord, Roger; Kahl, Christian - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 671-694

Persistent link: https://www.econbiz.de/10008667627