A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model

DOI10.1080/13504860601170534zbMATH Open1142.91029OpenAlexW1968581808MaRDI QIDQ5459530FDOQ5459530

Authors: Jia-Hau Guo, Mao-Wei Hung 

Publication date: 29 April 2008

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860601170534

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zbMATH Keywords

discontinuityHeston model

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Title not available (Why is that?)
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• On the pricing of forward starting options in Heston's model on stochastic volatility

Cited In (5)

• Comment on: A note on the discontinuity problem in Heston's stochastic volatility model
• On Singularities in the Heston Model
• A second-order weak approximation of Heston model by discrete random variables
• Valuing options in Heston's stochastic volatility model: another analytical approach
• Pricing joint claims on an asset and its realized variance in stochastic volatility models

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