Valuing options in Heston's stochastic volatility model: another analytical approach

DOI10.1155/2011/198469zbMath1223.91038OpenAlexW2141926061WikidataQ58690285 ScholiaQ58690285MaRDI QIDQ642746

Robert Frontczak

Publication date: 27 October 2011

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2011/198469

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Unnamed Item ⋮ Weak approximation of Heston model by discrete random variables

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Affine processes and applications in finance
• Option pricing with Mellin transforms
• On the pricing of forward starting options in Heston's model on stochastic volatility
• MODERN LOGARITHMS FOR THE HESTON MODEL
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Stochastic volatility, smile & asymptotics
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model
• A Stochastic Volatility Alternative to SABR

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