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The Little Heston Trap

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
1999Option valuation using the fast Fourier transform2,155 cited
2006Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes493 cited
2004A perfect calibration! now what?175 cited

Cited by

2012Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options124 cited
2012The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model116 cited
2009SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL116 cited
2010COMPLEX LOGARITHMS IN HESTON-LIKE MODELS99 cited
2010The large-maturity smile for the Heston model78 cited
2010Efficient, almost exact simulation of the Heston stochastic volatility model70 cited
2017Full and fast calibration of the Heston stochastic volatility model68 cited
2020A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean59 cited
2010Asymptotic formulae for implied volatility in the Heston model58 cited
2009Generic Pricing of FX, Inflation and Stock Options Under Stochastic Interest Rates and Stochastic Volatility

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50 cited

2011FX smile in the Heston model49 cited

2016Seasonal Stochastic Volatility: Implications for the pricing of commodity options49 cited

2016Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model42 cited

2012Convergence of numerical methods for stochastic differential equations in mathematical finance39 cited

2010On the density of log-spot in the Heston volatility model36 cited

2011Accelerating the Calibration of Stochastic Volatility Models36 cited