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simulation algorithm exists for this process, at present this is not the case for the Heston stochastic volatility model, where …
Persistent link: https://www.econbiz.de/10011349176
At the time of writing this article, Fourier inversion is the computational method of choice for a fast and accurate calculation of plain vanilla option prices in models with an analytically available characteristic function. Shifting the contour of integration along the complex plane allows for...
Persistent link: https://www.econbiz.de/10011349177
The characteristic functions of many affine jump-diffusion models, such as Heston’s stochastic volatility model and all …
Persistent link: https://www.econbiz.de/10011349189