COMPLEX LOGARITHMS IN HESTON-LIKE MODELS

DOI10.1111/j.1467-9965.2010.00416.xzbMath1232.91728OpenAlexW3123687478MaRDI QIDQ3161742

Christian Kahl, Roger Lord

Publication date: 15 October 2010

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00416.x

zbMATH Keywords

stochastic volatilityoption pricingcharacteristic functionexact simulationvariance gammaFourier inversionHestonaffine jump-diffusioncomplex logarithmSchöbel-Zhu

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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Cites Work

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• Interest rate models -- theory and practice. With smile, inflation and credit
• Modular pricing of options. An application of Fourier analysis
• On the pricing of forward starting options in Heston's model on stochastic volatility
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Fast strong approximation Monte Carlo schemes for stochastic volatility models
• MODERN LOGARITHMS FOR THE HESTON MODEL
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• A comparison of biased simulation schemes for stochastic volatility models
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• 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

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