A novel term-structure-based Heston model for implied volatility surface

DOI10.1080/00207160.2024.2357321MaRDI QIDQ6590577zbMATH OpenFDO

Authors Youfa Sun, Yishan Gong, Xinyuan Wang, Caiyan Liu

Publication date 21 August 2024

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160.2024.2357321

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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• An asymptotic expansion approach to pricing financial contingent claims
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• Consistent pricing of VIX and equity derivatives with the 4/2 stochastic volatility plus jumps model
• Convergence of Heston to SVI
• Large deviations and asymptotic methods in finance
• Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
• Maturity cycles in implied volatility
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• Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty
• Short-dated smile under rough volatility: asymptotics and numerics
• Small‐time, large‐time, and asymptotics for the Rough Heston model
• THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
• The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
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• The short-time behavior of VIX-implied volatilities in a multifactor stochastic volatility framework
• The term structure of equity and variance risk premia
• Time dependent Heston model
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Variance swaps under multiscale stochastic volatility of volatility
• Volatility is rough
• Volatility surfaces: theory, rules of thumb, and empirical evidence

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