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Conditional sampling for barrier option pricing under the Heston model
Conditional sampling barrier option pricing Heston model
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2012/9/14
We propose a quasi-Monte Carlo algorithm for pricing knock-out and knock-in barrier options under the Heston (1993) stochastic volatility model. This is done by modifying the LT method from Imai and T...
Smiles all around: FX joint calibration in a multi-Heston model
FX joint calibration multi-Heston model Pricing of Securities
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2012/3/2
Multi-currency FX derivatives offer a challenging playground to the mathematical modelling of correlations. Quotes of liquidly traded vanilla options on cross FX rates, e.g. EUR/JPY, can be used to ex...
FX Smile in the Heston Model
Heston model vanilla option stochastic volatility Monte Carlo simulation
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2010/10/22
The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is non-negative and mean-reverting, which is what we obs...
On refined volatility smile expansion in the Heston model
refined volatility expansion Heston model
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2010/10/18
It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment $s^{*}$ can be obtained by solving (numerically) a simple equation. This yields a leading ...
Asymptotic formulae for implied volatility in the Heston model
Asymptotic formulae implied volatility Heston model
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2010/11/2
In this paper we prove an approximate formula expressed in terms of elementary functions for the implied volatility in the Heston model. The formula consists of the constant and first order terms in t...