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Modern logarithms for the Heston model

Fahrner, Ingo - In: International journal of theoretical and applied finance 10 (2007) 1, pp. 23-30

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Componentwise splitting methods for pricing American options under stochastic volatility

Ikonen, Samuli; Toivanen, Jari - In: International journal of theoretical and applied finance 10 (2007) 2, pp. 331-361

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Asymptotic skew under stochastic volatility

Jacquier, Antoine (contributor) - 2007

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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

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Small-time asymptotics for implied volitility under the Heston model

Forde, Martin; Jacquier, Antoine - In: International journal of theoretical and applied finance 12 (2009) 6, pp. 861-876

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Numerical approximation of the implied volatility under arithmetic Brownian motion

Choi, Jaehyuk; Kim, Kwangmoon; Kwak, Minsuk - In: Applied mathematical finance 16 (2009) 3/4, pp. 261-268

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The evaluation of barrier option prices under stochastic volatility

Chiarella, Carl; Kang, Boda; Meyer, Gunter H. - 2010

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Optimal investment strategies under stochastic volatility : estimation and applications

Chiarella, Carl; Hsiao, Chih-ying - 2010

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A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility

Alòs, Elisa; León, Jorge A.; Pontier, Monique; Vives, … - 2008

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FX smile in the Heston model

Janek, Agnieszka; Kluge, Tino; Weron, Rafał; Wystup, Uwe - 2010

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 …

Persistent link: https://www.econbiz.de/10008663372