Series Expansions and Direct Inversion for the Heston Model

DOI10.1137/19M126791XzbMath1465.91118arXiv2008.08576OpenAlexW3118638636MaRDI QIDQ4988549

Jiaqi Shen, Anke Wiese, Simon J. A. Malham

Publication date: 17 May 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.08576

zbMATH Keywords

stochastic volatilityseries expansionChebyshev approximationdirect inversion

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Derivative securities (option pricing, hedging, etc.) (91G20) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58)

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