Asymptotic expansion formula of option price under multifactor Heston model

DOI10.1007/s10690-014-9189-4zbMath1368.91174OpenAlexW2084868664MaRDI QIDQ2398581

Tsz-Kin Chung, Kazuki Nagashima, Keiichi Tanaka

Publication date: 16 August 2017

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-014-9189-4

zbMATH Keywords

asymptotic expansionstochastic volatilityMalliavin calculusoption pricingvariance swapmultifactor Heston model

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications ⋮ American option pricing under the double Heston model based on asymptotic expansion ⋮ The influence of shock signals on the change in volatility term structure ⋮ Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate

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