منابع مشابه
A Fast Mean-reverting Correction to Heston Stochastic Volatility Model
We propose a multi-scale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertubative expansion is then used to obtain an approximation for European option prices. The resulting pricing formulas are semi-analytic, in the sense that they can be expressed as integrals. Difficulties associated with...
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We propose a multi-scale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertubative expansion is then used to obtain an approximation for European option prices. The resulting pricing formulas are semi-analytic, in the sense that they can be expressed as integrals. Difficulties associated with...
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ژورنال
عنوان ژورنال: Procedia - Social and Behavioral Sciences
سال: 2014
ISSN: 1877-0428
DOI: 10.1016/j.sbspro.2013.12.507