Skip to search formSkip to main content
You are currently offline. Some features of the site may not work correctly.

Heston model

Known as: Heston (disambiguation) 
In finance, the Heston model, named after Steven Heston, is a mathematical model describing the evolution of the volatility of an underlying asset… Expand
Wikipedia

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2018
2018
We characterize the Markovian and affine structure of the Volterra Heston model in terms of an infinite-dimensional adjusted… Expand
  • table 1
Is this relevant?
2017
2017
This paper presents an algorithm for a complete and efficient calibration of the Heston stochastic volatility model. We express… Expand
  • figure 1
  • table 1
  • figure 2
  • table 2
  • figure 3
Is this relevant?
Highly Cited
2011
Highly Cited
2011
We discuss the Heston [Heston-1993] model with stochastic interest rates driven by Hull-White [Hull,White-1996] (HW) or Cox… Expand
Is this relevant?
Highly Cited
2010
Highly Cited
2010
The use of the Heston model is still challenging because it has a closed formula only when the parameters are constant [S. Heston… Expand
Is this relevant?
2010
2010
The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for… Expand
  • figure 1.1
  • figure 1.2
  • figure 1.3
  • figure 1.4
  • figure 1.5
Is this relevant?
Highly Cited
2008
Highly Cited
2008
We model the volatility of a single risky asset using a multifactor (matrix) Wishart affine process, recently introduced in… Expand
Is this relevant?
Highly Cited
2008
Highly Cited
2008
This paper deals with the numerical solution of the Heston partial differential equation that plays an important role in… Expand
  • figure 1
  • table 1
  • figure 2
  • figure 3
  • figure 4
Is this relevant?
Highly Cited
2008
Highly Cited
2008
We develop analytical methodology for pricing and hedging options on the realized variance under the Heston stochastic variance… Expand
Is this relevant?
Highly Cited
2006
Highly Cited
2006
The role of characteristic functions in finance has been strongly amplified by the development of the general option pricing… Expand
  • figure 1
  • figure 2
  • table 1
  • figure 3
  • figure 4
Is this relevant?
Highly Cited
2002
Highly Cited
2002
Abstract We study the Heston model, where the stock price dynamics is governed by a geometrical (multiplicative) Brownian motion… Expand
Is this relevant?