Full and fast calibration of the Heston stochastic volatility model
From MaRDI portal
Publication:1694942
DOI10.1016/j.ejor.2017.05.018zbMath1380.91106arXiv1511.08718OpenAlexW2963319432MaRDI QIDQ1694942
Guido Germano, Sebastian del Baño Rollin, Yiran Cui
Publication date: 6 February 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1511.08718
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic programming (90C15) Stochastic models in economics (91B70) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)
Related Items (20)
A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean ⋮ Stochastic pricing formulation for hybrid equity warrants ⋮ A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model ⋮ An exploration of a balanced up-downwind scheme for solving Heston volatility model equations on variable grids ⋮ Computational technique for simulating variable-order fractional Heston model with application in US stock market ⋮ Impact of rough stochastic volatility models on long-term life insurance pricing ⋮ INFORMATION-THEORETIC ANALYSIS OF STOCHASTIC VOLATILITY MODELS ⋮ VOLATILITY INFERENCE AND RETURN DEPENDENCIES IN STOCHASTIC VOLATILITY MODELS ⋮ On the calibration of the 3/2 model ⋮ A neural network-based framework for financial model calibration ⋮ Fast reconstruction of time-dependent market volatility for European options ⋮ Pricing discretely-monitored double barrier options with small probabilities of execution ⋮ DG framework for pricing European options under one-factor stochastic volatility models ⋮ The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications ⋮ Quantization meets Fourier: a new technology for pricing options ⋮ On the application of Wishart process to the pricing of equity derivatives: the multi-asset case ⋮ Calibration and advanced simulation schemes for the Wishart stochastic volatility model ⋮ A systematic and efficient simulation scheme for the Greeks of financial derivatives ⋮ Economic scenario generators: a risk management tool for insurance ⋮ Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
Uses Software
Cites Work
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- Parameter identification in financial market models with a feasible point SQP algorithm
- Gamma expansion of the Heston stochastic volatility model
- Decomposition of a symmetric matrix
- Heuristic optimisation in financial modelling
- Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs
- Implementing models in quantitative finance: methods and cases
- On the density of log-spot in the Heston volatility model
- The Heston Model and Its Extensions in Matlab and C#
- Statistical Tools for Finance and Insurance
- The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
- COMPLEX LOGARITHMS IN HESTON-LIKE MODELS
- LAPACK Users' Guide
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
This page was built for publication: Full and fast calibration of the Heston stochastic volatility model