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Complete Analytical Solution of the Heston Model for Option Pricing and Value-at-Risk Problems : A Probability Density Function Approach

Izmailov, Alexander - 2015

://ssrn.com/abstract=2546430). • In this paper we report similar unique results for pricing options in the presence of stochastic volatility … Model. • Our discovery of the probability density function for options with stochastic volatility enables exact closed … the density function for options with stochastic volatility within the Heston model is expressive enough to enable …

Persistent link: https://www.econbiz.de/10013030477

Option smiling when investors' estimates of asset volatility disagree

Lin, Chien-chih - In: Applied economics 46 (2014) 31/33, pp. 3812-3827

Persistent link: https://www.econbiz.de/10010419898

Rare disasters, credit, and option market puzzles

Christoffersen, Peter F.; Du, Du; Elkamhi, Redouane - In: Management science : journal of the Institute for … 63 (2017) 5, pp. 1341-1364

Persistent link: https://www.econbiz.de/10011684726

Optionsbewertung mit stochastischer Volatilität : Implementation des Heston-Modells

Muck, Matthias; Rudolf, Markus - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 35 (2006) 6, pp. 325-330

Persistent link: https://www.econbiz.de/10003324884

Exotic option pricing in Heston's stochastic volatility model

Griebsch, Susanne A. - 2008

Persistent link: https://www.econbiz.de/10003881039

Robust static hedging of barrier options in stochastic volatility models

Maruhn, Jan H.; Sachs, Ekkehard - In: Mathematical methods of operations research 70 (2009) 3, pp. 405-433

Persistent link: https://www.econbiz.de/10003909254

Put-call symmetry : extensions and applications

Carr, Peter; Lee, Roger - In: Mathematical finance : an international journal of … 19 (2009) 4, pp. 523-560

Persistent link: https://www.econbiz.de/10003937125

Conditional density models for asset pricing

Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - 2010

along with the specification of (a) the initial density, and (b) the volatility structure of the density. The volatility …

Persistent link: https://www.econbiz.de/10008797695

Spanning tests for options using principal components methods

Hansen, Charlotte S.; Tuypens, Bjorn E. - In: Applied financial economics 17 (2007) 7/9, pp. 739-746

Persistent link: https://www.econbiz.de/10003491227

A simple approach to pricing American options under the Heston stochastic volatility model

Beliaeva, Natalia A.; Nawalkha, Sanjay K. - In: The journal of derivatives : the official publication … 17 (2009/10) 4, pp. 25-43

Persistent link: https://www.econbiz.de/10003985507