The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the … process for the volatility is nonnegative and mean-reverting, which is what we observe in the markets. Secondly, there exists …. -- Heston model ; vanilla option ; stochastic volatility ; Monte Carlo simulation ; Feller condition ; option pricing with FFT …

methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …

proposes an estimate of the neutral band based on the one-step-ahead density forecast obtained from a stochastic volatility … stochastic volatility models have the best fit and forecasting performance, hence superior neutral band estimates. …

An efficient method is developed for pricing American options on combination stochastic volatility …/jump-diffusion processes when jump risk and volatility risk are systematic and nondiversifiable, thereby nesting two major option pricing … models. The parameters implicit in PHLX-traded Deutschemark options of the stochastic volatility/jump- diffusion model and …

options for a family of stochastic volatility models with arbitrary local volatility component and time dependent (piecewise …

respect to the volatility of volatility, then uses it to price options in the stochastic volatility model. In this paper, we … apply their method to the stochastic volatility model with stochastic interest rates, and present the expansion formula for …

We introduce an asymptotic expansion for forward start options in a multi-factor local-stochastic volatility model. We … derive explicit approximation formulas for the so-called forward implied volatility which can be useful to price complex path … generalized to a wider class of local-stochastic volatility models. We illustrate the effectiveness of the technique through some …