Calibration and simulation of Heston model

DOI10.1515/math-2017-0058zbMath1368.60061OpenAlexW2626766990MaRDI QIDQ2364763

Jan Pospíšil, Milan Mrázek

Publication date: 25 July 2017

Published in: Open Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/math-2017-0058

zbMATH Keywords

stochastic volatilityoption pricingMonte Carlo simulationcalibrationHeston model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical optimization and variational techniques (65K10) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (2)

Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm ⋮ Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models

Uses Software

• Mathematica

Cites Work

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