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A novel term-structure-based Heston model for implied volatility surface - MaRDI portal

A novel term-structure-based Heston model for implied volatility surface

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Publication:6590577

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DOI10.1080/00207160.2024.2357321MaRDI QIDQ6590577

Caiyan Liu, Yishan Gong, Youfa Sun, Xinyuan Wang

Publication date: 21 August 2024

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Characteristic functions; other transforms (60E10) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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