Implied higher order moments in the Heston model: a case study of S\&P500 index

DOI10.1007/S10203-023-00396-ZMaRDI QIDQ6089406zbMATH OpenOpenAlexFDO

Authors Farshid Mehrdoust, Idin Noorani

Publication date 17 November 2023

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10203-023-00396-z

zbMATH Keywords

calibrationHeston modelhigher order momentsVIX index

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Financial markets (91G15) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

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• A note on option pricing for the constant elasticity of variance model
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• American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis
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• Asymptotic behavior of the fractional Heston model
• Calibration of the double Heston model and an analytical formula in pricing American put option
• Extension of stochastic volatility equity models with the Hull-White interest rate process
• Fast Ninomiya-Victoir calibration of the double-mean-reverting model
• Mixed fractional Heston model and the pricing of American options
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• Pricing and Hedging Path-Dependent Options Under the CEV Process
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• Reaching nirvana with a defaultable asset?
• Regime-switching stochastic volatility model: estimation and calibration to VIX options
• Revisiting corporate growth options in the presence of state-dependent cashflow risk
• Stochastic Calculus
• The dynamics of stochastic volatility: evidence from underlying and options markets
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm

Cited in

(1)

• A regime-switching Heston model for VIX and S&P 500 implied volatilities

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