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On the density of log-spot in the Heston volatility model · Study

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ArticleOn the density of log-spot in the Heston volatility model

Sebastián del Baño Rollin2010

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Articlebronze2010

On the density of log-spot in the Heston volatility model

Sebastián del Baño Rollin · Albert Ferreiro-Castilla · Frederic Utzet

36 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Probability and Risk Models

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 1999Continuous Martingales and Brownian Motion 2003Monte Carlo Methods in Financial Engineering 2006The Malliavin Calculus and Related Topics 1999Option valuation using the fast Fourier transform 1995The Malliavin Calculus and Related Topics 2006The Volatility Surface: A Practitioner's Guide

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2014ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME‐HOMOGENEOUS DIFFUSIONS 2017The exact Taylor formula of the implied volatility 2018Option pricing in a regime switching stochastic volatility model

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2009A comparison of biased simulation schemes for stochastic volatility modelsarticle · 8 shared references 2006A Comparison of Biased Simulation Schemes for Stochastic Volatility Modelspreprint · 8 shared references 2010Efficient, almost exact simulation of the Heston stochastic volatility modelarticle · 8 shared references 2010COMPLEX LOGARITHMS IN HESTON-LIKE MODELSarticle · 7 shared references 2009Extension of stochastic volatility equity models with the Hull–White interest rate processarticle · 7 shared references 2009Generic Pricing of FX, Inflation and Stock Options Under Stochastic Interest Rates and Stochastic Volatilityarticle · 7 shared references

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Year2010

Typearticle

Published2010-06-17

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations36

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2010.06.003

openalex_workW2078886489

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