A multifactor volatility Heston model

DOI10.1080/14697680701668418zbMath1152.91500OpenAlexW2073476019MaRDI QIDQ3539544

José Da Fonseca, Martino Grasselli, Claudio Tebaldi

Publication date: 18 November 2008

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

Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22112

zbMATH Keywords

stochastic volatilityfinancial derivativesoptions pricingvolatility modellingoptions volatility

Mathematics Subject Classification ID

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Cites Work

• Wishart processes
• A survey of nonsymmetric Riccati equations
• SOLVABLE AFFINE TERM STRUCTURE MODELS
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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