Complex logarithms in Heston-like models

DOI10.1111/J.1467-9965.2010.00416.XMaRDI QIDQ3161742zbMATH OpenOpenAlexFDO

Authors Roger Lord, Christian Kahl

Publication date 15 October 2010

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2010.00416.x

zbMATH Keywords

characteristic functionoption pricingexact simulationstochastic volatilityvariance gammaFourier inversionHestonaffine jump-diffusioncomplex logarithmSchöbel-Zhu

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A comparison of biased simulation schemes for stochastic volatility models
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Fast strong approximation Monte Carlo schemes for stochastic volatility models
• Interest rate models -- theory and practice. With smile, inflation and credit
• MODERN LOGARITHMS FOR THE HESTON MODEL
• Modular pricing of options. An application of Fourier analysis
• On the pricing of forward starting options in Heston's model on stochastic volatility
• Stock price distributions with stochastic volatility: an analytic approach
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(31)

• On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
• Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases
• Option pricing with Legendre polynomials
• Local stochastic volatility with jumps: analytical approximations
• Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
• Comment on: A note on the discontinuity problem in Heston's stochastic volatility model
• Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes
• Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
• The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
• Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
• On a transform method for the efficient computation of conditional V\@R (and V\@R) with application to loss models with jumps and stochastic volatility
• Series Expansions and Direct Inversion for the Heston Model
• MODERN LOGARITHMS FOR THE HESTON MODEL
• Coherent foreign exchange market models
• Pricing methods for -quantile and perpetual early exercise options based on Spitzer identities
• Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
• Speed and biases of Fourier-based pricing choices: a numerical analysis
• Nearly exact option price simulation using characteristic functions
• Full and fast calibration of the Heston stochastic volatility model
• Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump?
• Laplace transform approach to option pricing for time-changed Brownian models
• Numerical evaluation of complex logarithms in the Cox-Ingersoll-Ross model
• On the density of log-spot in the Heston volatility model
• Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
• Bilateral Credit Valuation Adjustment of CDS Under Systemic and Correlated Idiosyncratic Risks
• Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
• Pricing joint claims on an asset and its realized variance in stochastic volatility models
• Option pricing in affine generalized Merton models
• Weighted average price in the Heston stochastic volatility model
• Singular Fourier-Padé series expansion of European option prices
• A new simple tree approach for the Heston's stochastic volatility model

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