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A two-factor term structure model under GARCH volatility
Heston, Steven L.; Nandi, Saikat - In: The journal of fixed income 13 (2003) 1, pp. 87-95
Persistent link: https://www.econbiz.de/10001782469
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A discrete-time two-factor model for pricing bonds and interest rate derivatives under Random volatility
Heston, Steven L.; Nandi, Saikat - 1999
Persistent link: https://www.econbiz.de/10001444589
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Derivatives on volatility : some simple solutions based on observables
Heston, Steven L.; Nandi, Saikat - 2000
Persistent link: https://www.econbiz.de/10001537175
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A closed-form GARCH option pricing model
Heston, Steven L.; Nandi, Saikat - 1997
Persistent link: https://www.econbiz.de/10000985996
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Preference-free option pricing with path-dependent volatility : a clsosed-form approach
Heston, Steven L.; Nandi, Saikat - 1999
Persistent link: https://www.econbiz.de/10001408069
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Missing parameters in option prices
Heston, Steven L. - 1992
Persistent link: https://www.econbiz.de/10000912009
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Discrete-time versions of continuous-time interest rate models
Heston, Steven L. - In: The journal of fixed income 5 (1995) 2, pp. 86-88
Persistent link: https://www.econbiz.de/10001213236
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A model of discontinuous interest rate behavior, yield curves, and volatility
Heston, Steven L. - In: Review of derivatives research 10 (2007) 3, pp. 205-225
Persistent link: https://www.econbiz.de/10003748108
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The shape and term structure of the index option smirk : why multifactor stochastic volatility models work so well
Christoffersen, Peter F.; Heston, Steven L.; Jacobs, Kris - 2009
Persistent link: https://www.econbiz.de/10003861274
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The shape and term structure of the index option smirk : why multifactor stochastic volatility models work so well
Christoffersen, Peter F.; Heston, Steven L.; Jacobs, Kris - 2009
Persistent link: https://www.econbiz.de/10003865680