An alternative form used to calibrate the Heston option pricing model

DOI10.1016/J.CAMWA.2016.02.023MaRDI QIDQ2007219zbMATH OpenOpenAlexFDO

Authors Xin-Jiang He, Song-Ping Zhu

Publication date 12 October 2020

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2016.02.023

zbMATH Keywords

affine solutionalternative formempirical studiesHeston model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Boundary values and finite difference methods for the single factor term structure equation
• scientific article; zbMATH DE number 1222810 (Why is no real title available?)
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• On leverage in a stochastic volatility model
• Options on realized variance by transform methods: a non-affine stochastic volatility model
• Stock price distributions with stochastic volatility: an analytic approach
• The Heston stochastic-local volatility model: efficient Monte Carlo simulation
• The Non-Absolute Convergence of Gil-Pelaez' Inversion Integral
• The pricing of options and corporate liabilities
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well

Cited in

(3)

• An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
• An alternative form to calibrate the correlated Stein-Stein option pricing model
• Solution behavior of Heston model using impression matrix norm

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