The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications

DOI10.1016/j.ejor.2020.11.050zbMath1487.91141OpenAlexW3108265025MaRDI QIDQ2030533

Michelle S. Ouellette, Giulia Iori, Gabriele Tedeschi, Maria Cristina Recchioni

Publication date: 7 June 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2020.11.050

zbMATH Keywords

option pricingfinancestochastic volatility modelsvariance risk premium

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Parameter identification for portfolio optimization with a slow stochastic factor

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