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… (More)
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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
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
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
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
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
  • K. J. IN’T HOUT
  • 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
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
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
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
In Heston’s stochastic volatility framework [ Hes93], semi-analytical formulæ for plain vanilla option prices can be derived… (More)
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