Valuation of power options under Heston's stochastic volatility model

DOI10.1016/J.JEDC.2012.05.005MaRDI QIDQ311037zbMATH OpenOpenAlexFDO

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

Publication date 28 September 2016

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

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

zbMATH Keywords

change of numeraireFourier transformHeston modelpower optionstochastic volatility

Mathematics Subject Classification ID

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

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Cites work

• A class of quadratic options for exchange rate stabilization
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Changes of numéraire, changes of probability measure and option pricing
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• scientific article; zbMATH DE number 1594551 (Why is no real title available?)
• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• scientific article; zbMATH DE number 1414609 (Why is no real title available?)
• Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
• Moment explosions in stochastic volatility models
• Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
• Pricing and hedging power options
• Stock price distributions with stochastic volatility: an analytic approach
• The pricing of options and corporate liabilities

Cited in

(17)

• Development of computational algorithms for evaluating option prices associated with square-root volatility processes
• Valuation of power option for uncertain financial market
• Moments and Mellin transform of the asset price in Stein and Stein model and option pricing
• 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
• Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
• A robust spectral method for solving Heston's model
• Moment explosions in stochastic volatility models
• The valuation of powered options
• Catastrophe equity put options under stochastic volatility and catastrophe-dependent jumps
• scientific article; zbMATH DE number 2171415 (Why is no real title available?)
• scientific article; zbMATH DE number 7673126 (Why is no real title available?)
• Valuing options in Heston's stochastic volatility model: another analytical approach
• Pricing of timer digital power options based on stochstic volatility
• An efficient algorithm to solve the geometric Asian power option price PDE under the stochastic volatility model
• Pricing power option under NIG model using fast Fourier transform
• Valuation and hedging of European contingent claims on power with spikes: a non-Markovian approach

Describes a project that uses

Uses Software

• Mathematica

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