Weighted average price in the Heston stochastic volatility model

DOI10.1007/s10203-017-0197-5zbMath1398.91611OpenAlexW2753522235MaRDI QIDQ1693861

Peng Zhang

Publication date: 31 January 2018

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

Full work available at URL: https://doi.org/10.1007/s10203-017-0197-5

zbMATH Keywords

stochastic volatilitycalibrationoption priceHeston model

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Computational technique for simulating variable-order fractional Heston model with application in US stock market

Cites Work

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• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• User’s guide to viscosity solutions of second order partial differential equations
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Probability distribution of returns in the Heston model with stochastic volatility*
• Asymptotics of Forward Implied Volatility
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Large-maturity regimes of the Heston forward smile

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