Numerical Simulation of the Heston Model under Stochastic Correlation
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Peter Christoffersen & Steven Heston & Kris Jacobs, 2009.
"The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well,"
Management Science, INFORMS, vol. 55(12), pages 1914-1932, December.
- Peter Christoffersen & Steven Heston & Kris Jacobs, 2009. "The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well," CREATES Research Papers 2009-34, Department of Economics and Business Economics, Aarhus University.
- Jun Ma, 2009. "Pricing Foreign Equity Options with Stochastic Correlation and Volatility," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 303-327, November.
- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
- Grzelak, Lech & Oosterlee, Kees, 2009. "On The Heston Model with Stochastic Interest Rates," MPRA Paper 20620, University Library of Munich, Germany, revised 18 Jan 2010.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Long Teng & Matthias Ehrhardt & Michael Günther, 2016. "On The Heston Model With Stochastic Correlation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 1-25, September.
- Maria Cristina Recchioni & Yu Sun & Gabriele Tedeschi, 2017.
"Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model,"
Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1257-1275, August.
- Maria Cristina Recchioni & Yu Sun & Gabriele Tedeschi, 2016. "Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model," Working Papers 2016/23, Economics Department, Universitat Jaume I, Castellón (Spain).
- Ah-Reum Han & Jeong-Hoon Kim & See-Woo Kim, 2021. "Variance Swaps with Deterministic and Stochastic Correlations," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1059-1092, April.
- Long Teng, 2021. "The Heston Model with Time-Dependent Correlation Driven by Isospectral Flows," Mathematics, MDPI, vol. 9(9), pages 1-8, April.
- Ben-Zhang Yang & Xiaoping Lu & Guiyuan Ma & Song-Ping Zhu, 2019. "Robust portfolio optimization with multi-factor stochastic volatility," Papers 1910.06872, arXiv.org, revised Jun 2020.
- Marcos Escobar & Christoph Gschnaidtner, 2018. "A multivariate stochastic volatility model with applications in the foreign exchange market," Review of Derivatives Research, Springer, vol. 21(1), pages 1-43, April.
- Tianyao Chen & Xue Cheng & Jingping Yang, 2019. "Common Decomposition of Correlated Brownian Motions and its Financial Applications," Papers 1907.03295, arXiv.org, revised Nov 2020.
- Ben-Zhang Yang & Xiaoping Lu & Guiyuan Ma & Song-Ping Zhu, 2020. "Robust Portfolio Optimization with Multi-Factor Stochastic Volatility," Journal of Optimization Theory and Applications, Springer, vol. 186(1), pages 264-298, July.
- Darren Shannon & Grigorios Fountas, 2021. "Extending the Heston Model to Forecast Motor Vehicle Collision Rates," Papers 2104.11461, arXiv.org, revised May 2021.
- Cui, Yiran & del Baño Rollin, Sebastian & Germano, Guido, 2017.
"Full and fast calibration of the Heston stochastic volatility model,"
European Journal of Operational Research, Elsevier, vol. 263(2), pages 625-638.
- Yiran Cui & Sebastian del Ba~no Rollin & Guido Germano, 2015. "Full and fast calibration of the Heston stochastic volatility model," Papers 1511.08718, arXiv.org, revised May 2016.
- Cui, Yiran & del Baño Rollin, Sebastian & Germano, Guido, 2017. "Full and fast calibration of the Heston stochastic volatility model," LSE Research Online Documents on Economics 83754, London School of Economics and Political Science, LSE Library.
- Christoffersen, Peter & Heston, Steven & Jacobs, Kris, 2010. "Option Anomalies and the Pricing Kernel," Working Papers 11-17, University of Pennsylvania, Wharton School, Weiss Center.
- Rehez Ahlip & Laurence A. F. Park & Ante Prodan, 2017. "Pricing currency options in the Heston/CIR double exponential jump-diffusion model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-30, March.
- Cao, Jiling & Kim, Jeong-Hoon & Liu, Wenqiang & Zhang, Wenjun, 2023. "Rescaling the double-mean-reverting 4/2 stochastic volatility model for derivative pricing," Finance Research Letters, Elsevier, vol. 58(PB).
- Fabien Floc’h & Cornelis W. Oosterlee, 2019.
"Model-free stochastic collocation for an arbitrage-free implied volatility: Part I,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 679-714, December.
- Fabien Le Floc’h & Cornelis W. Oosterlee, 2019. "Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II," Risks, MDPI, vol. 7(1), pages 1-21, March.
- Mehrdoust, Farshid & Noorani, Idin & Hamdi, Abdelouahed, 2023. "Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 204(C), pages 660-678.
- Carpinteyro, Martha & Venegas-Martínez, Francisco & Martínez-García, Miguel Ángel, 2018. "Modeling Returns of Stock Indexes through Fractional Brownian Motion Combined with Jump Processes and Modulated by Markov Chains," MPRA Paper 90549, University Library of Munich, Germany.
- Zhang, Sumei & Gao, Xiong, 2019. "An asymptotic expansion method for geometric Asian options pricing under the double Heston model," Chaos, Solitons & Fractals, Elsevier, vol. 127(C), pages 1-9.
- Pierre-Edouard Arrouy & Sophian Mehalla & Bernard Lapeyre & Alexandre Boumezoued, 2020. "Jacobi Stochastic Volatility factor for the Libor Market Model," Working Papers hal-02468583, HAL.
- Sha Lin & Xin-Jiang He, 2022. "Analytically Pricing European Options under a New Two-Factor Heston Model with Regime Switching," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1069-1085, March.
- Du Du & Dan Luo, 2019. "The Pricing of Jump Propagation: Evidence from Spot and Options Markets," Management Science, INFORMS, vol. 67(5), pages 2360-2387, May.
More about this item
Keywords
Heston model; stochastic correlation process; Ornstein-Uhlenbeck process; quadratic-exponential scheme;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jijfss:v:6:y:2017:i:1:p:3-:d:124327. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.