Time Dependent Heston Model
From MaRDI portal
Publication:3563695
DOI10.1137/090753814zbMath1198.91203MaRDI QIDQ3563695
Mohammed Miri, Eric Benhamou, Emmanuel Gobet
Publication date: 1 June 2010
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/090753814
asymptotic expansion; Malliavin calculus; Cox-Ingersoll-Ross model; volatility of volatility; time dependent Heston model
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
60H07: Stochastic calculus of variations and the Malliavin calculus
Related Items
Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options, Implied Volatility of Basket Options at Extreme Strikes, New Approximations in Local Volatility Models, Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models, EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL, DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS, Approximate Option Pricing in the Lévy Libor Model, EXPANSION FORMULAS FOR BIVARIATE PAYOFFS WITH APPLICATION TO BEST-OF OPTIONS ON EQUITY AND INFLATION, DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS, Application of power series approximation techniques to valuation of European style options, On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions, Pricing multi-asset American option under Heston-CIR diffusion model with jumps, Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility, American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis, On Upper Functions for Integral Quadratic Functionals Based on Time-Varying Ornstein--Uhlenbeck Process, Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models, EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS, APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH, The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew, Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility, Approximate option pricing under a two-factor Heston-Kou stochastic volatility model, Rough Heston Models with Variable Vol-of-Vol and Option Pricing, Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration, On calibration of stochastic and fractional stochastic volatility models, High-order compact finite difference scheme for option pricing in stochastic volatility models, Expansions asymptotiques pour équations paraboliques dégénérées, Symmetry analysis of a model of stochastic volatility with time-dependent parameters, A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean, Smart expansion and fast calibration for jump diffusions, On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option, A decomposition formula for option prices in the Heston model and applications to option pricing approximation, Removing the correlation term in option pricing Heston model: numerical analysis and computing, Expressions of forward starting option price in Hull-White stochastic volatility model, Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms, Pricing and exercising American options: an asymptotic expansion approach, Calibration and simulation of Heston model, Asymptotic expansion formula of option price under multifactor Heston model, High-order ADI scheme for option pricing in stochastic volatility models, High-order compact finite difference scheme for option pricing in stochastic volatility jump models, Weak approximation of averaged diffusion processes, High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids, Closed-form implied volatility surfaces for stochastic volatility models with jumps, Jacobi stochastic volatility factor for the LIBOR market model, Foreign exchange options on Heston-CIR model under Lévy process framework, Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model, Riding on the smiles, General approximation schemes for option prices in stochastic volatility models, Analytical formulas for a local volatility model with stochastic rates, On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model
Uses Software
