A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
From MaRDI portal
Publication:2996524
DOI10.1137/090761458zbMath1217.91189arXiv1007.4366OpenAlexW2004330626MaRDI QIDQ2996524
Matthew Lorig, Jean-Pierre Fouque
Publication date: 2 May 2011
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1007.4366
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (19)
High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU ⋮ Pricing of vulnerable options under hybrid stochastic and local volatility ⋮ Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options ⋮ Asymptotic expansion formula of option price under multifactor Heston model ⋮ A Shannon wavelet method for pricing American options under two-factor stochastic volatilities and stochastic interest rate ⋮ TIME-CHANGED FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS ⋮ American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis ⋮ Lifting the Heston model ⋮ Unnamed Item ⋮ Pricing of defaultable options with multiscale generalized Heston's stochastic volatility ⋮ Calibration of the double Heston model and an analytical formula in pricing American put option ⋮ The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications ⋮ Unnamed Item ⋮ American option pricing under the double Heston model based on asymptotic expansion ⋮ A regime-switching Heston model for VIX and S&P 500 implied volatilities ⋮ Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm ⋮ A decreasing step method for strongly oscillating stochastic models ⋮ Smile from the past: a general option pricing framework with multiple volatility and leverage components ⋮ To expand and to abandon: real options under asset variance risk premium
This page was built for publication: A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
