Stationary Heston model: calibration and pricing of exotics using product recursive quantization

DOI10.1080/14697688.2021.2023205zbMath1491.91147arXiv2001.03101MaRDI QIDQ5079352

Gilles Pagès, Thibaut Montes, Vincent Lemaire

Publication date: 27 May 2022

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

Full work available at URL: https://arxiv.org/abs/2001.03101

zbMATH Keywords

stochastic volatility; Gamma distribution; Heston model; exotic derivatives

Mathematics Subject Classification ID

91B70: Stochastic models in economics

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

Uses Software

• Anderson

Cites Work

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