منابع مشابه
Fast Calibration in the Heston Model
The Heston model is one of the most popular stochastic volatility models for derivatives pricing. The model proposed by Heston (1993) takes into account non-lognormal distribution of the assets returns, leverage effect and the important mean-reverting property of volatility. In addition, it has a semi-closed form solution for European options. It therefore extends the Black and Scholes model an...
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In this paper we will propose a simple approach to simulating Heston model efficiently and accurately. All existing simulation schemes so far directly work with the mean-reverting square root process of the variance in Heston model, instead we transform the variance to an equivalent volatility which follows a mean-reverting Ornstein-Uhlenbeck process. We will show it is more convenient to simul...
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ژورنال
عنوان ژورنال: Open Mathematics
سال: 2017
ISSN: 2391-5455
DOI: 10.1515/math-2017-0058