MONOTONICITY OF PRICES IN HESTON MODEL

DOI10.1142/S0219024913500167zbMath1270.91098OpenAlexW2111013917MaRDI QIDQ2841333

Sidi Mohamed Ould Aly

Publication date: 24 July 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024913500167

zbMATH Keywords

correlationmaximum principleHeston modelEuropean put optionsprice monotonicity

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Ordinary differential equations and systems with randomness (34F05)

Related Items (1)

Weighted average price in the Heston stochastic volatility model

Cites Work

• The Black-Scholes equation in stochastic volatility models
• Volatility misspecification, option pricing and superreplication via coupling
• Volatility time and properties of option prices
• Comparison results for stochastic volatility models via coupling
• Contingent Claims and Market Completeness in a Stochastic Volatility Model
• Asymptotic formulae for implied volatility in the Heston model
• SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
• Robustness of the Black and Scholes Formula
• MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED
• ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS

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