EUROPEAN OPTIONS SENSITIVITY WITH RESPECT TO THE CORRELATION FOR MULTIDIMENSIONAL HESTON MODELS

DOI10.1142/S0219024914500150zbMath1302.91180OpenAlexW2062484228MaRDI QIDQ5420695

Damien Lamberton, Lokman A. Abbas-Turki

Publication date: 13 June 2014

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

Full work available at URL: https://doi.org/10.1142/s0219024914500150

zbMATH Keywords

correlation sensitivitymulti-asset Heston model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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• The Black-Scholes equation in stochastic volatility models
• PDE and martingale methods in option pricing.
• MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
• A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING
• High order discretization schemes for the CIR process: Application to affine term structure and Heston models
• Robustness of the Black and Scholes Formula

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