A fractional Heston model with
Author:
Affiliation:
1. Department d’Economia i Empresa and Barcelona Graduate School of Economics, Universitat Pompeu Fabra, Barcelona, Spain.
2. Fakultät für Informatik und Mathematik, Hochschule München, München, Germany.
Funder
Consejo Superior de Investigaciones Científicas
Ministerio de Ciencia e Innovación
Publisher
Informa UK Limited
Subject
Modelling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442508.2016.1218496
Reference20 articles.
1. High order discretization schemes for the CIR process: Application to affine term structure and Heston models
2. Malliavin differentiability of the Heston volatility and applications to option pricing
3. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
4. A decomposition formula for option prices in the Heston model and applications to option pricing approximation
5. CALIBRATION OF STOCHASTIC VOLATILITY MODELS VIA SECOND-ORDER APPROXIMATION: THE HESTON CASE
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