Gamma Expansion of the Heston Stochastic Volatility Model

SSRN Electronic Journal
doi 10.2139/ssrn.1279850
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Elsevier BV

Related search

Optimal Discrete Hedging in the Heston Stochastic Volatility Model

SSRN Electronic Journal
2007English

The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation

International Journal of Theoretical and Applied Finance
EconomicsEconometricsFinance
2014English

A Lie Algebraic and Numerical Investigation of the Black-Scholes Equation With Heston Volatility Model

Journal of Generalized Lie Theory and Applications
2016English

Option Pricing for Stochastic Volatility Models: Vol-Of-Vol Expansion

SIAM Journal on Financial Mathematics
Applied MathematicsNumerical AnalysisFinance
2014English

Exchange Option Pricing Under Stochastic Volatility: A Correlation Expansion

Review of Derivatives Research
EconomicsEconometricsFinance
2009English

It's All About Volatility of Volatility: Evidence From a Two-Factor Stochastic Volatility Model

Journal of Empirical Finance
EconomicsFinanceEconometrics
2015English

The Randomized Heston Model

SIAM Journal on Financial Mathematics
Applied MathematicsNumerical AnalysisFinance
2019English

A Stochastic Volatility Model With Conditional Skewness

Journal of Business and Economic Statistics
EconomicsProbabilityUncertaintySocial SciencesStatisticsEconometrics
2012English

Modelling the Volatility of Commodities Prices Using a Stochastic Volatility Model With Random Level Shifts

Review of World Economics
EconomicsEconometricsFinance
2016English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy