# Heston model

## Papers overview

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2015

2015

- 2015

The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for… (More)

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2011

2011

- SIAM J. Financial Math.
- 2011

We discuss the Heston [Heston-1993] model with stochastic interest rates driven by Hull-White [Hull,White-1996] (HW) or Cox… (More)

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2011

2011

- SIAM J. Financial Math.
- 2011

We develop an efficient Fourier-based numerical method for pricing Bermudan and discretely monitored barrier options under the… (More)

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2011

2011

- Finance and Stochastics
- 2011

Using the Gärtner-Ellis theorem from large deviations theory, we characterize the leadingorder behaviour of call option prices… (More)

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2010

2010

- SIAM J. Financial Math.
- 2010

The use of the Heston model is still challenging because it has a closed formula only when the parameters are constant [Hes93] or… (More)

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Highly Cited

2009

Highly Cited

2009

- 2009

This paper deals with the numerical solution of the Heston partial differential equation (PDE) that plays an important role in… (More)

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2009

2009

- 2009

We rigorize the work of Lewis (2007) and Durrleman (2005) on the small-time asymptotic behavior of the implied volatility under… (More)

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Highly Cited

2009

Highly Cited

2009

- Management Science
- 2009

State-of-the-art stochastic volatility models generate a “volatility smirk” that explains why out-of-the-money index puts have… (More)

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2006

2006

- 2006

The role of characteristic functions in finance has been strongly amplified by the development of the general option pricing… (More)

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2006

2006

- 2006

In Heston’s stochastic volatility framework [ Hes93], semi-analytical formulæ for plain vanilla option prices can be derived… (More)

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