A novel term-structure-based Heston model for implied volatility surface
Author:
Affiliation:
1. School of Economics, Guangdong University of Technology, Guangzhou, People’s Republic of China
2. School of Management, Guangdong University of Technology, Guangzhou, People’s Republic of China
Funder
National Natural Science Foundation of China
Natural Science Foundation of Guangdong Province of China
Publisher
Informa UK Limited
Link
https://www.tandfonline.com/doi/pdf/10.1080/00207160.2024.2357321
Reference46 articles.
1. Forecasting the term structure of option implied volatility: The power of an adaptive method
2. Closed-form implied volatility surfaces for stochastic volatility models with jumps
3. J. Gatheral, The Volatility Surface: A Practitioner’s Guide, John Wiley & Sons, New York, NY, 2011.
4. Implied Volatility Functions: Empirical Tests
5. Convergence of Heston to SVI
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