–Uhlenbeck process, 1/2—the Heston (or square root) process, 1—GARCH, and 3/2—the 3/2 model. Some other models, e.g. with γ = 2 were …

The characteristic functions of many affine jump-diffusion models, such as Heston’s stochastic volatility model and all … completely wrong option prices if options are priced by Fourier inversion. In this paper we prove under non … branch is the correct one. Seen as this formulation is easier to implement and numerically more stable than Heston …

simulation algorithm exists for this process, at present this is not the case for the Heston stochastic volatility model, where … pricing European options. Thirdly and finally, we numerically compare all Euler fixes to a recent quasi-second order scheme of … preferred discretisation method for simulation of the Heston model and extensions thereof. …

It is impossible to discriminate between the commonly used stochastic volatility models of Heston, log-normal, and 3 …

This paper proposes a data-driven approach, by means of an Artificial Neural Network (ANN), to value financial options … different types of solvers, including the analytic solution for the Black-Scholes equation, the COS method for the Heston …

months and below), the Heston model-in which variance is stationary but not log-normal-is superior for long-term options, and …-normal but drift-free SABR (stochastic-alpha-beta-rho) model performs best for short-term options (times-to-expiry of three …

simulation algorithm exists for this process, at present this is not the case for the Heston stochastic volatility model, where … pricing European options. Thirdly and finally, we numerically compare all Euler fixes to a recent quasi-second order scheme of … preferred discretisation method for simulation of the Heston model and extensions thereof. …