An alternative form used to calibrate the Heston option pricing model

DOI10.1016/j.camwa.2016.02.023zbMath1443.91292OpenAlexW2300506606MaRDI QIDQ2007219

Xin-Jiang He, Song-Ping Zhu

Publication date: 12 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2016.02.023

zbMATH Keywords

Heston modelaffine solutionempirical studiesalternative form

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching, An alternative form to calibrate the correlated Stein-Stein option pricing model

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