Multifactor Heston's stochastic volatility model for European option pricing

DOI10.1002/ASMB.2462MaRDI QIDQ6574625zbMATH OpenFDO

Authors Sotheara Veng, Ji-Hun Yoon, Sun-Yong Choi

Publication date 18 July 2024

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.2462

zbMATH Keywords

asymptotic analysisEuropean optionsHeston's modelstochastic volatility

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
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• Multiscale Stochastic Volatility Asymptotics
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• Option pricing under hybrid stochastic and local volatility
• Pricing perpetual American options under multiscale stochastic elasticity of variance
• Singular Perturbations in Option Pricing
• Stochastic differential equations. An introduction with applications.
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well

Cited in

(1)

• Pricing of timer volatility-barrier options under Heston's stochastic volatility model

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