We present a simple and numerically efficient approach to the calibration of the Heston stochastic volatility model with piecewise constant parameters. Extending the original ansatz for the characteristic function, proposed in the seminal paper by Heston, to the case of piecewise constant...

Can shorter maturity European options be statically hedged with longer maturity plain vanilla options? This problem appears for example when analyzing options on forwards in relation to liquid options on the spot underlying. Under mild assumptions on the underlying security price process and on...