The Heston stochastic-local volatility model: efficient Monte Carlo simulation
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Cites work
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- Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- Two-dimensional Fourier cosine series expansion method for pricing financial options
- Valuing American options by simulation: a simple least-squares approach
Cited in
(47)- A mixed PDE/Monte-Carlo method for stochastic volatility models
- The Heston stochastic volatility model with piecewise constant parameters -- efficient calibration and pricing of window barrier options
- How should a local regime-switching model be calibrated?
- A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs
- An alternative form used to calibrate the Heston option pricing model
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks
- An efficient Monte Carlo simulation for new uncertain Heston-CIR hybrid model
- A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility
- A new class of multidimensional Wishart-based hybrid models
- CTMC integral equation method for American options under stochastic local volatility models
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- Semi-analytical prices for lookback and barrier options under the Heston model
- Regime switching affine processes with applications to finance
- Local volatility in the Heston model: a Malliavin calculus approach
- The Heston model and its extensions in Matlab and C\#. With a foreword by Steven L. Heston
- Sensitivity study of Heston stochastic volatility model using GPGPU
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- Smile modeling in commodity markets
- Efficient, almost exact simulation of the Heston stochastic volatility model
- A novel Monte Carlo approach to hybrid local volatility models
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- Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility
- Collocating volatility: a competitive alternative to stochastic local volatility models
- Model-driven statistical arbitrage on LETF option markets
- Estimating Heston's and Bates’ models parameters using Markov chain Monte Carlo simulation
- Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
- On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model
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- On the Pricing of American Options under Stochastic Local Volatility and Stochastic Correlation via the RBSDE Framework
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