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ECONIS (ZBW)
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1
A model of discontinuous interest rate behavior, yield curves, and volatility
Heston, Steven L.
- In:
Review of derivatives research
10
(
2007
)
3
,
pp. 205-225
Persistent link: https://www.econbiz.de/10003748108
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2
Derivatives on volatility : some simple solutions based on observables
Heston, Steven L.
;
Nandi, Saikat
-
2000
Persistent link: https://www.econbiz.de/10001537175
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3
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
Saved in:
4
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
Saved in:
5
The Shape and Term Structure of the Index Option Smirk : Why Multifactor Stochastic Volatility Models Work so Well
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
-
2009
State-of-the-art stochastic volatility models generate a 'volatility smirk' that explains why out-of-the-money index puts have high prices relative to the Black-Scholes benchmark. These models also adequately explain how the volatility smirk moves up and down in response to changes in risk....
Persistent link: https://www.econbiz.de/10014205554
Saved in:
6
The shape and term structure of the index option smirk : why multifactor stochastic volatility models work so well
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
- In:
Management science : journal of the Institute for …
55
(
2009
)
12
,
pp. 1914-1932
Persistent link: https://www.econbiz.de/10003928488
Saved in:
7
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
Saved in:
8
The shape and term structure of the index option smirk : why multifactor stochastic volatility models work so well
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
-
2009
Persistent link: https://www.econbiz.de/10003861274
Saved in:
9
The shape and term structure of the index option smirk : why multifactor stochastic volatility models work so well
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
-
2009
Persistent link: https://www.econbiz.de/10003865680
Saved in:
10
Options and bubbles
Heston, Steven L.
;
Loewenstein, Mark A.
;
Willard, Gregory A.
- In:
The review of financial studies
20
(
2007
)
2
,
pp. 359-390
Persistent link: https://www.econbiz.de/10003554435
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