A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING

DOI10.1142/S021902491100653XzbMath1233.91263MaRDI QIDQ3225031

Stefan Lorenz, Georgi Dimitroff, Alexander Szimayer

Publication date: 13 March 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

correlation; option pricing; calibration; multi-asset; heston model

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement, A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility, Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations, PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION, Options Pricing for Several Maturities in a Jump-Diffusion Model, EUROPEAN OPTIONS SENSITIVITY WITH RESPECT TO THE CORRELATION FOR MULTIDIMENSIONAL HESTON MODELS

Cites Work

• Unnamed Item
• Pricing and hedging long-term options
• Option pricing when correlations are stochastic: an analytical framework
• A multifactor volatility Heston model
• Financial Modelling with Jump Processes
• Continuous Time Wishart Process for Stochastic Risk