SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Efficient Simulation of the Heston Stochastic Volatility Model
12 references·16 citing·29 second hop
Efficient Simulation of the Heston Stochastic Volatility Model (2006)Efficient Simulation of the Heston Stocha…Moment explosions in stochastic volatility models (2006)Moment explosions in stochast…Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (2006)Exact Simulation of Stochasti…Option pricing by transform methods: extensions, unification and error control (2004)Option pricing by transform m…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …The Term Structure of Implied Volatility (2000)The Term Structure of Implied…Introduction and Summary of Results (Excerpt) (2000)Introduction and Summary of R…Transform Analysis and Asset Pricing for Affine Jump-Diffusions (1999)Transform Analysis and Asset …Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Efficient Monte Carlo Simulation of Security Prices (1995)Efficient Monte Carlo Simulat…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…FAST: Financial News and Tweet Based Time Aware Network for Stock Trading (2021)FAST: Financial News and Twee…Spatiotemporal Hypergraph Convolution Network for Stock Movement Forecasting (2020)Spatiotemporal Hypergraph Con…Deep Attentive Learning for Stock Movement Prediction From Social Media Text and Company Correlations (2020)Deep Attentive Learning for S…The Free Boundary SABR: Natural Extension to Negative Rates (2015)The Free Boundary SABR: Natur…BENCHOP – The BENCHmarking project in option pricing (2015)BENCHOP – The BENCHmarking pr…Simulation of the CEV process and the local martingale property (2012)Simulation of the CEV process…A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL (2012)A LOW-BIAS SIMULATION SCHEME …The Impact of Stochastic Volatility on Pricing, Hedging, and Hedge Efficiency of Withdrawal Benefit Guarantees in Variable Annuities (2011)The Impact of Stochastic Vola…Time Dependent Heston Model (2010)Time Dependent Heston ModelThe Stochastic Behavior of Commodity Prices with Heteroscedasticity in the Convenience Yield (2010)The Stochastic Behavior of Co…Efficient, almost exact simulation of the Heston stochastic volatility model (2010)Efficient, almost exact simul…Stochastic Volatility and Stochastic Leverage (2009)Stochastic Volatility and Sto…Generic Pricing of FX, Inflation and Stock Options Under Stochastic Interest Rates and Stochastic Volatility (2009)Generic Pricing of FX, Inflat…Gamma expansion of the Heston stochastic volatility model (2009)Gamma expansion of the Heston…Extension of stochastic volatility equity models with the Hull–White interest rate process (2009)Extension of stochastic volat…Consistent Modeling of SPX and VIX options (2008)Consistent Modeling of SPX an…The Pricing of Options and Corporate Liabilities (1973)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)The Cross‐Section of Volatility and Expected Returns (2006)A comparison of biased simulation schemes for stochastic volatility models (2009)Numerical solution of stochastic differential equations (2016)Exploring the sources of default clustering (2018)Deep hedging (2019)An equilibrium characterization of the term structure (1977)Affine processes for dynamic mortality and actuarial valuations (2005)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2014)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)High order discretization schemes for the CIR process: Application to affine term structure and Heston models (2009)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Maximum likelihood estimation of stochastic volatility models (2006)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)
this work references cited by second hop

References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions598 cited
  • 2000Introduction and Summary of Results (Excerpt)516 cited
  • 2000The Term Structure of Implied Volatility516 cited
  • 2006Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes493 cited
  • 2006Moment explosions in stochastic volatility models403 cited
  • 2004Option pricing by transform methods: extensions, unification and error control328 cited
  • 1995Efficient Monte Carlo Simulation of Security Prices173 cited

Cited by

  • 2010Time Dependent Heston Model160 cited
  • 2020Deep Attentive Learning for Stock Movement Prediction From Social Media Text and Company Correlations146 cited
  • 2009Gamma expansion of the Heston stochastic volatility model

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

103 cited
  • 2008Consistent Modeling of SPX and VIX options83 cited
  • 2020Spatiotemporal Hypergraph Convolution Network for Stock Movement Forecasting77 cited
  • 2009Extension of stochastic volatility equity models with the Hull–White interest rate process75 cited
  • 2010The Stochastic Behavior of Commodity Prices with Heteroscedasticity in the Convenience Yield70 cited
  • 2010Efficient, almost exact simulation of the Heston stochastic volatility model70 cited
  • 2015BENCHOP – The BENCHmarking project in option pricing64 cited
  • 2012A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL53 cited
  • 2009Generic Pricing of FX, Inflation and Stock Options Under Stochastic Interest Rates and Stochastic Volatility50 cited
  • 2011The Impact of Stochastic Volatility on Pricing, Hedging, and Hedge Efficiency of Withdrawal Benefit Guarantees in Variable Annuities45 cited
  • 2021FAST: Financial News and Tweet Based Time Aware Network for Stock Trading41 cited
  • 2015The Free Boundary SABR: Natural Extension to Negative Rates39 cited
  • 2009Stochastic Volatility and Stochastic Leverage38 cited
  • 2012Simulation of the CEV process and the local martingale property33 cited