A multifactor volatility Heston model
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A survey of nonsymmetric Riccati equations
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- SOLVABLE AFFINE TERM STRUCTURE MODELS
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Wishart processes
Cited in
(91)- A multivariate stochastic volatility model with applications in the foreign exchange market
- Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
- Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps
- Optimal portfolios when variances and covariances can jump
- Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
- Exact and high-order discretization schemes for Wishart processes and their affine extensions
- Calibration of the double Heston model and an analytical formula in pricing American put option
- The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications
- On the application of Wishart process to the pricing of equity derivatives: the multi-asset case
- The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options
- The log-asset dynamic with Euler-Maruyama scheme under Wishart processes
- Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
- Forests, cumulants, martingales
- A new class of multidimensional Wishart-based hybrid models
- Pricing vulnerable options with stochastic volatility
- A Shannon wavelet method for pricing American options under two-factor stochastic volatilities and stochastic interest rate
- Option pricing under two-factor stochastic volatility jump-diffusion model
- An asymptotic expansion method for geometric Asian options pricing under the double Heston model
- European option pricing under Wishart processes
- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
- A closed-form solution for outperformance options with stochastic correlation and stochastic volatility
- The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
- Asymptotic expansion formula of option price under multifactor Heston model
- Density approximations for multivariate affine jump-diffusion processes
- Pricing range notes within Wishart affine models
- Order estimates for the exact Lugannani-Rice expansion
- Modeling the variance risk premium of equity indices: the role of dependence and contagion
- Fire sales forensics: measuring endogenous risk
- Running for the exit: distressed selling and endogenous correlation in financial markets
- Riding on the smiles
- The explicit Laplace transform for the Wishart process
- Lost in contagion? Building a liquidation index from covariance dynamics
- Hedging (co)variance risk with variance swaps
- Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
- Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?
- A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING
- On moment non-explosions for Wishart-based stochastic volatility models
- Stochastic covariance and dimension reduction in the pricing of basket options
- Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models
- Closed-form pricing of two-asset barrier options with stochastic covariance
- Partial differential equation pricing of contingent claims under stochastic correlation
- The Heston model with stochastic elasticity of variance
- The Heston stochastic volatility model in Hilbert space
- Fourier transform methods for pathwise covariance estimation in the presence of jumps
- WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK
- The Wishart short rate model
- Conic quantization: stochastic volatility and market implied liquidity
- Application of power series approximation techniques to valuation of European style options
- Pricing variance swaps under double Heston stochastic volatility model with stochastic interest rate
- A closed-form pricing formula for european exchange options with stochastic volatility
- An analytical approximation method for pricing barrier options under the double Heston model
- American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis
- Lifting the Heston model
- Small-time smile for the multifactor volatility Heston model
- Long-time large deviations for the multiasset Wishart stochastic volatility model and option pricing
- American option pricing under the double Heston model based on asymptotic expansion
- Calibration and advanced simulation schemes for the Wishart stochastic volatility model
- Long-term optimal investment in matrix valued factor models
- Affine processes on positive semidefinite matrices
- THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
- Two asset-barrier option under stochastic volatility
- Derivative pricing with Wishart multivariate stochastic volatility
- Optimal portfolios for financial markets with Wishart volatility
- Simple simulation schemes for CIR and Wishart processes
- On strong solutions for positive definite jump diffusions
- Explosion time for some Laplace transforms of the Wishart process
- Maximum principles for boundary-degenerate second order linear elliptic differential operators
- A multifactor transformed diffusion model with applications to VIX and VIX futures
- A fractionally integrated Wishart stochastic volatility model
- The Alpha‐Heston stochastic volatility model
- The Laplace transform of the integrated Volterra Wishart process
- Implied higher order moments in the Heston model: a case study of S\&P500 index
- The EWMA Heston model
- Pricing power exchange options with default risk, stochastic volatility and stochastic interest rate
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
- A general framework for a joint calibration of VIX and VXX options
- Optimal order execution under price impact: a hybrid model
- Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate
- Exact perturbation approximations for the conditional moments of a multifactor CIR term structure model with a weak mean-reversion influence
- On pricing options under two stochastic volatility processes
- Infinite-dimensional Wishart processes
- On extensibility and qualitative properties of solutions to Riccati's equation
- Pricing exchange options under hybrid stochastic volatility and interest rate models
- Exchange option pricing under the hybrid exponential jump diffusion model
- Commodity options pricing under Wishart stochastic volatility model equipped with jump process: model calibration by an optimized neural network
- Sampling and estimation on manifolds using the Langevin diffusion
- Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\)
- Optimal execution under price impact in a heterogeneous characteristic timescale
- Robust portfolio optimization with multi-factor stochastic volatility
- Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
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