A decomposition formula for option prices in the Heston model and applications to option pricing approximation

DOI10.1007/s00780-012-0177-0zbMath1259.91081OpenAlexW2054388137MaRDI QIDQ1761451

Elisa Alòs

Publication date: 15 November 2012

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10230/6063

zbMATH Keywords

stochastic volatilityHeston modelItô calculus

Mathematics Subject Classification ID

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

Related Items (14)

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Cites Work

• A generalization of the Hull and White formula with applications to option pricing approximation
• Pricing options under stochastic volatility: a power series approach
• Smart expansion and fast calibration for jump diffusions
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• Time Dependent Heston Model
• EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL
• Singular Perturbations in Option Pricing
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• 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
• Malliavin differentiability of the Heston volatility and applications to option pricing
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