Closed-form convexity and cross-convexity adjustments for Heston prices

DOI10.1080/14697688.2010.549835zbMath1267.91067OpenAlexW3123656441MaRDI QIDQ5300440

Gabriel G. Drimus

Publication date: 27 June 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.549835

zbMATH Keywords

stochastic volatilityvolatility modellingnumerical methods for option pricingequity options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility ⋮ The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications ⋮ Risk adjustments of option prices under time-changed dynamics

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Martingale methods in financial modelling.
• Contingent Claims and Market Completeness in a Stochastic Volatility Model
• A Theory of the Term Structure of Interest Rates
• Sato processes and the valuation of structured products
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• An affine property of the reciprocal Asian option process

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