On the density of log-spot in the Heston volatility model

DOI10.1016/j.spa.2010.06.003zbMath1209.60037OpenAlexW2078886489MaRDI QIDQ2638360

Frederic Utzet, Sebastian del Baño Rollin, Albert Ferreiro-Castilla

Publication date: 15 September 2010

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2010.06.003

zbMATH Keywords

characteristic functionHeston volatility modelBessel random variables

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

Related Items (11)

Option pricing in a regime switching stochastic volatility model ⋮ An investigation of model risk in a market with jumps and stochastic volatility ⋮ On Singularities in the Heston Model ⋮ Full and fast calibration of the Heston stochastic volatility model ⋮ Weighted variance swaps hedge against impermanent loss ⋮ Inversion of analytic characteristic functions and infinite convolutions of exponential and Laplace densities ⋮ Analytical approximation of the transition density in a local volatility model ⋮ ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS ⋮ Asymptotics of implied volatility to arbitrary order ⋮ On the calibration of the 3/2 model ⋮ Order estimates for the exact Lugannani-Rice expansion

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