Closed-form convexity and cross-convexity adjustments for Heston prices

DOI10.1080/14697688.2010.549835zbMath1267.91067MaRDI QIDQ5300440

Gabriel G. Drimus

Publication date: 27 June 2013

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

Full work available at URL: https://doi.org/10.1080/14697688.2010.549835

zbMATH Keywords

stochastic volatility; volatility modelling; numerical methods for option pricing; equity options

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G70: Statistical methods; risk measures

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

Related Items

Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility, The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications, Risk adjustments of option prices under time-changed dynamics

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