منابع مشابه
Time Dependent Heston Model
The use of the Heston model is still challenging because it has a closed formula only when the parameters are constant [Hes93] or piecewise constant [MN03]. Hence, using a small volatility of volatility expansion and Malliavin calculus techniques, we derive an accurate analytical formula for the price of vanilla options for any time dependent Heston model (the accuracy is less than a few bps fo...
متن کاملAsymptotic Arbitrage in the Heston Model
In this paper, we introduce a new form of asymptotic arbitrage, which we call a partial asymptotic arbitrage, half-way between those of Föllmer & Schachermayer (2007) [Mathematics and Financial Economics 1 (34), 213–249] and Kabanov & Kramkov (1998) [Finance and Stochastics 2, 143–172]. In the context of the Heston model, we establish a precise link between the set of equivalent martingale meas...
متن کاملThe Heston Model with Term Structure
The purpose of this project is to extend the Heston model in order to incorporate the term structure (TS) of the implied volatility surface. This includes implementing a TS within the Heston model and its calibration to a set of market instruments. The TS Heston model with piecewise constant parameters is implemented to match the TS and the COS pricing method is used for fast option pricing. We...
متن کاملFast 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...
متن کاملGoodness-of-fit of the Heston model
An analytical formula for the probability distribution of stock-market returns, derived from the Heston model assuming a mean-reverting stochastic volatility, was recently proposed by Drăgulescu and Yakovenko in Quantitative Finance 2002. While replicating their results, we found two significant weaknesses in their method to pre-process the data, which cast a shadow over the effective goodness-...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1367955