ON PRICING CONTINGENT CLAIMS UNDER THE DOUBLE HESTON MODEL

DOI10.1142/S0219024912500331zbMath1262.91147OpenAlexW1969027134MaRDI QIDQ3166710

Massimo Costabile, Emilio Russo, Ivar Massabò

Publication date: 15 October 2012

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

Full work available at URL: https://doi.org/10.1142/s0219024912500331

zbMATH Keywords

stochastic volatilitydiscrete-time modelsdouble Heston model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70)

Related Items (1)

American option pricing under the double Heston model based on asymptotic expansion

Cites Work

• The Pricing of Options and Corporate Liabilities
• Consistent variance curve models
• Penalty methods for American options with stochastic volatility
• Option pricing when correlations are stochastic: an analytical framework
• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
• High order discretization schemes for the CIR process: Application to affine term structure and Heston models
• A tree-based method to price American options in the Heston model
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• Multigrid for American option pricing with stochastic volatility
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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