The Heston model with stochastic elasticity of variance

DOI10.1002/ASMB.2203zbMATH1420.91454OpenAlexW2525054953MaRDI QIDQ4620171FDOQ4620171

Authors Sun-Yong Choi, Jeong-Hoon Kim, Ji-Hun Yoon

Publication date 8 February 2019

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.2203

zbMATH Keywords

implied volatilityHeston modelmultifactorstochastic elasticity of variance

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stochastic models in economics (91B70)

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Cited in

(13)

• The Alpha‐Heston stochastic volatility model
• The pricing of vulnerable foreign exchange options under a multiscale stochastic volatility model
• Pricing of timer volatility-barrier options under Heston's stochastic volatility model
• Application of the Heston stochastic volatility model for Borsa Istanbul using impression matrix norm
• Markovian structure of the Volterra Heston model
• Stochastic elasticity of variance with stochastic interest rates
• THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
• Lifting the Heston model
• An integral representation of elasticity and sensitivity for stochastic volatility models
• An explicitly solvable Heston model with stochastic interest rate
• A multifactor volatility Heston model
• The EWMA Heston model
• Stochastic elasticity of vol-of-vol and pricing of variance swaps

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