Heston model: the variance swap calibration

DOI10.1007/s10957-013-0331-7zbMath1295.91086OpenAlexW3125071450MaRDI QIDQ2247916

Wim Schoutens, Florence Guillaume

Publication date: 30 June 2014

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-013-0331-7

zbMATH Keywords

Heston modelstarting valuesvariance term structure matching

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion ⋮ A bootstrapping market implied moment matching calibration for models with time-dependent parameters

Cites Work

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• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• A Theory of the Term Structure of Interest Rates
• Asymptotic formulae for implied volatility in the Heston model
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• Convergence of Heston to SVI
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• A moment matching market implied calibration

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