An alternative form used to calibrate the Heston option pricing model

DOI10.1016/J.CAMWA.2016.02.023zbMath1443.91292OpenAlexW2300506606MaRDI QIDQ2007219

Xin-Jiang He, Song-Ping Zhu

Publication date: 12 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2016.02.023

zbMATH Keywords

Heston modelaffine solutionempirical studiesalternative form

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching ⋮ An alternative form to calibrate the correlated Stein-Stein option pricing model

Cites Work

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• Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation
• 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
• Options on realized variance by transform methods: a non-affine stochastic volatility model

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