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Efficient pricing and reliable calibration in the Heston model

Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-44

Persistent link: https://www.econbiz.de/10009685887

Local volatility pricing models for long-dated FX derivatives

Deelstra, Griselda; Rayée, Grégory - In: Applied mathematical finance 20 (2013) 3/4, pp. 380-402

Persistent link: https://www.econbiz.de/10010187656

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

Joint pricing of VIX and SPX options with stochastic volatility and jump models

Kokholm, Thomas; Stisen, Martin - In: Journal of risk finance : the convergence of financial … 16 (2015) 1, pp. 27-48

Persistent link: https://www.econbiz.de/10010513370

The Heston stochastic-local volatility model : efficient Monte Carlo simulation

Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-30

Persistent link: https://www.econbiz.de/10010498851

On calibration of stochastic and fractional stochastic volatility models

Mrázek, Milan; Pospíšil, Jan; Sobotka, Tomáš - In: European journal of operational research : EJOR 254 (2016) 3, pp. 1036-1046

Persistent link: https://www.econbiz.de/10011522408

A general closed form option pricing formula

Necula, Ciprian; Drimus, Gabriel; Farkas, Walter - 2016 - This version: 10 March 2016

A new method to retrieve the risk-neutral probability measure from observed option prices is developed and a closed form pricing formula for European options is obtained by employing a modified Gram-Charlier series expansion, known as the Gauss-Hermite expansion. This expansion converges for...

Persistent link: https://www.econbiz.de/10011506359

Accelerating the calibration of stochastic volatility models

Kilin, Fiodar - 2007

comparison is the choice of the fastest method for the calibration of stochastic volatility models, e.g. Heston, Bates, Barndorff …-Nielsen-Shephard models or Levy models with stochastic time. We show that using additional cache technique makes the calibration with the … direct integration method at least seven times faster than the calibration with the fractional FFT method. …

Persistent link: https://www.econbiz.de/10011293932

Multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model

Ng, Leslie - In: The journal of computational finance 18 (2014/15) 3, pp. 59-98

Persistent link: https://www.econbiz.de/10011298899

Dynamic stochastic general equilibrium (DSGE) modelling in practice : identification, estimation and evaluation

Nachane, Dilip M. - In: Macroeconomics and finance in emerging market economies 10 (2017) 1/3, pp. 107-134

Persistent link: https://www.econbiz.de/10011904813