A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model

DOI10.1080/13504860601170534zbMath1142.91029OpenAlexW1968581808MaRDI QIDQ5459530

Jia-Hau Guo, Mao-Wei Hung

Publication date: 29 April 2008

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860601170534

zbMATH Keywords

discontinuityHeston model

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (3)

Valuing options in Heston's stochastic volatility model: another analytical approach ⋮ PRICING JOINT CLAIMS ON AN ASSET AND ITS REALIZED VARIANCE IN STOCHASTIC VOLATILITY MODELS ⋮ Comment on: A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model

Cites Work

• Unnamed Item
• On the pricing of forward starting options in Heston's model on stochastic volatility
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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