A hybrid approach for the implementation of the Heston model

DOI10.1093/imaman/dpv032OpenAlexW2286171594MaRDI QIDQ5046610

Maya Briani, Lucia Caramellino, Antonino Zanette

Publication date: 9 November 2022

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.7178

zbMATH Keywords

finite differencesHeston modeltree methodsEuropean and American options

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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High-order compact finite difference scheme for option pricing in stochastic volatility jump models ⋮ Regime-switching constrained viscosity solutions approach for controlling dam-reservoir systems ⋮ Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models ⋮ Computing credit valuation adjustment solving coupled PIDEs in the Bates model ⋮ Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model ⋮ NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS ⋮ Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate

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