On Singularities in the Heston Model

DOI10.1007/978-3-319-11605-1_15zbMath1418.91396OpenAlexW2102314584MaRDI QIDQ4560340

Vladimir M. Lucic

Publication date: 11 December 2018

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-11605-1_15

zbMATH Keywords

complex singularitiesHeston

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Related Items (1)

SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS

Cites Work

• Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models
• On the density of log-spot in the Heston volatility model
• On refined volatility smile expansion in the Heston model
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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