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A comparison of pricing and hedging performances of equity derivatives models

Lassance, Nathan; Vrins, Frédéric - In: Applied economics 50 (2018) 10, pp. 1122-1137

Persistent link: https://www.econbiz.de/10011848262

The CTMC–Heston model : calibration and exotic option pricing with SWIFT

Leitao, Álvaro; Kirkby, J. Lars; Ortiz-Garcia, Luis - In: The journal of computational finance 24 (2021) 4, pp. 71-114

Persistent link: https://www.econbiz.de/10012544164

Robust product Markovian quantization

Rudd, Ralph; McWalter, Thomas A.; Kienitz, Jörg; … - In: The journal of computational finance 25 (2022) 4, pp. 55-78

Persistent link: https://www.econbiz.de/10014546287

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

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

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

American option pricing under the double Heston model based on asymptotic expansion

Zhang, S. M.; Feng, Y. - In: Quantitative finance 19 (2019) 2, pp. 211-226

Persistent link: https://www.econbiz.de/10012194649

The Generalized Gamma distribution as a useful RND under Heston's stochastic volatility model

Boukai, Benzion - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-18

options prices under Heston's stochastic volatility (SV) model. We demonstrate that under a particular reparametrization, this … volatility 'smile', which indicates a likely distortion in the Black-Scholes modeling of such option data. Reflective of entirely … different market expectations, this distortion in the volatility 'smile' appears not to exist in the TLT option data. We provide …

Persistent link: https://www.econbiz.de/10013273577

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

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