Valuation of power options under Heston's stochastic volatility model

DOI10.1016/J.JEDC.2012.05.005zbMath1345.91073OpenAlexW2009445547MaRDI QIDQ311037

In-Suk Wee, Kyoung-Sook Moon, Jerim Kim, Bara Kim

Publication date: 28 September 2016

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2012.05.005

zbMATH Keywords

Fourier transformstochastic volatilitychange of numeraireHeston modelpower option

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion ⋮ Catastrophe equity put options under stochastic volatility and catastrophe-dependent jumps ⋮ Unnamed Item ⋮ Valuation of power option for uncertain financial market ⋮ A robust spectral method for solving Heston's model ⋮ The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options ⋮ Computation of powered option prices under a general model for underlying asset dynamics

Uses Software

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Cites Work

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• Changes of numéraire, changes of probability measure and option pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility

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