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Stationary Heston model: calibration and pricing of exotics using product recursive quantization

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  • Vincent Lemaire
  • Thibaut Montes
  • Gilles Pagès

Abstract

Product Recursive Quantization is used to price exotic options in the Stationary Heston model, a model that generates more realistic volatility surfaces than the original Heston model

Suggested Citation

  • Vincent Lemaire & Thibaut Montes & Gilles Pagès, 2022. "Stationary Heston model: calibration and pricing of exotics using product recursive quantization," Quantitative Finance, Taylor & Francis Journals, vol. 22(4), pages 611-629, April.
    • Handle: RePEc:taf:quantf:v:22:y:2022:i:4:p:611-629
    DOI: 10.1080/14697688.2021.2023205
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    Cited by:

    1. Christian Bayer & Denis Belomestny & Oleg Butkovsky & John Schoenmakers, 2024. "A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean–Vlasov models," Finance and Stochastics, Springer, vol. 28(4), pages 1147-1178, October.
    2. Lech A. Grzelak, 2022. "On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500," Papers 2208.12518, arXiv.org.

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