A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING

DOI10.1142/S021902491100653XzbMath1233.91263OpenAlexW3124654226MaRDI QIDQ3225031

Stefan Lorenz, Georgi Dimitroff, Alexander Szimayer

Publication date: 13 March 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/s021902491100653x

zbMATH Keywords

correlationoption pricingcalibrationmulti-assetheston model

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (10)

Robustness analysis on the pricing of some options on two assets with delays ⋮ Options Pricing for Several Maturities in a Jump-Diffusion Model ⋮ A stochastic volatility factor model of heston type. Statistical properties and estimation ⋮ CORRELATION ESTIMATION IN HYBRID SYSTEMS ⋮ Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement ⋮ A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility ⋮ EUROPEAN OPTIONS SENSITIVITY WITH RESPECT TO THE CORRELATION FOR MULTIDIMENSIONAL HESTON MODELS ⋮ The numerical simulation of Quanto option prices using Bayesian statistical methods ⋮ Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations ⋮ PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION

Cites Work

• Unnamed Item
• Pricing and hedging long-term options
• Option pricing when correlations are stochastic: an analytical framework
• A multifactor volatility Heston model
• Financial Modelling with Jump Processes
• Continuous Time Wishart Process for Stochastic Risk

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