The Randomized Heston Model

DOI10.1137/18M1166420zbMath1411.91562arXiv1608.07158OpenAlexW2911621276MaRDI QIDQ5742496

Antoine Jacquier, Fangwei Shi

Publication date: 14 May 2019

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

Full work available at URL: https://arxiv.org/abs/1608.07158

zbMATH Keywords

asymptotic expansionstochastic volatilitylarge deviationsimplied volatilityHeston

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Asymptotic Behavior of the Fractional Heston Model, Black-Scholes in a CEV random environment, Stationary Heston model: calibration and pricing of exotics using product recursive quantization, Small-time moderate deviations for the randomised Heston model, Turbocharging Monte Carlo pricing for the rough Bergomi model, Asymptotic behaviour of randomised fractional volatility models

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