MODERN LOGARITHMS FOR THE HESTON MODEL

DOI10.1142/S0219024907004111MaRDI QIDQ3444861zbMATH OpenOpenAlexFDO

Authors Ingo Fahrner

Publication date 5 June 2007

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024907004111

zbMATH Keywords

branch-cutHeston modelLewis-Lipton formula

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Complex logarithms in Heston-like models
• Comment on: A note on the discontinuity problem in Heston's stochastic volatility model
• On the density of log-spot in the Heston volatility model
• Lifting the Heston model
• Efficient pricing and reliable calibration in the Heston model

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• scientific article; zbMATH DE number 1255542 (Why is no real title available?)
• scientific article; zbMATH DE number 1414609 (Why is no real title available?)

Cited in

(6)

• On the density of log-spot in the Heston volatility model
• Comment on: A note on the discontinuity problem in Heston's stochastic volatility model
• General approximation schemes for option prices in stochastic volatility models
• Complex logarithms in Heston-like models
• On refined volatility smile expansion in the Heston model
• Valuing options in Heston's stochastic volatility model: another analytical approach

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