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Rough-Heston Local-Volatility Model [PDF]
International Journal of Theoretical and Applied Finance, 2022 In industrial applications it is quite common to use stochastic-volatility models driven by semi-martingale Markov volatility processes. However, in order to fit exactly market volatilities, these models are usually extended by adding a local-volatility term.
Enrico Dall'Acqua +2 more
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Analysis of parametric and non-parametric option pricing models [PDF]
Heliyon, 2022 In this paper, a closed-form analytical solution of option price under the Bi-Heston model is derived. Through empirical analysis, the advantages and disadvantages of the parametric pricing model are compared and analysed with those of the non-parametric
Qiang Luo +3 more
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SWIFT Calibration of the Heston Model [PDF]
Mathematics, 2021 In the present work, the SWIFT method for pricing European options is extended to Heston model calibration. The computation of the option price gradient is simplified thanks to the knowledge of the characteristic function in closed form.
Eudald Romo, Luis Ortiz-Gracia
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Asymptotic behaviour of the fractional Heston model [PDF]
SIAM Journal on Financial Mathematics, 2014 We consider the fractional Heston model originally proposed by Comte, Coutin and Renault. Inspired by recent ground-breaking work on rough volatility, which showed that models with volatility driven by fractional Brownian motion with short memory allows for better calibration of the volatility surface and more robust estimation of time series of ...
Hamza Guennoun +3 more
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Uncertainty quantification and Heston model [PDF]
Journal of Mathematics in Industry, 2018 In this paper, we study the impact of the parameters involved in Heston model by means of Uncertainty Quantification. The Stochastic Collocation Method already used for example in computational fluid dynamics, has been applied throughout this work in ...
María Suárez-Taboada +3 more
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Asymptotic arbitrage in the Heston model [PDF]
International Journal of Theoretical and Applied Finance, 2013 In this paper, we introduce a new form of asymptotic arbitrage, which we call a partial asymptotic arbitrage, half-way between those of Föllmer & Schachermayer (2007) [Mathematics and Financial Economics 1 (34), 213–249] and Kabanov & Kramkov (1998) [Finance and Stochastics 2, 143–172].
Fatma Haba, Antoine Jacquier
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Filtration of parameters of the Heston model
Системи обробки інформації, 2020 In this article we consider the Heston model of the stock price behaviour. While the volatility of the model is the non-linear function of another stochastic unobservable function, that is why we consider linearizing all non-linear functions of the model.
О.А. Кобилін +2 more
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AIMS Mathematics, 2023 In this paper a finite difference method (FDM) is provided for pricing perpetual timer options under the Heston volatility model. Considering the degeneracy of the pricing equation, we first prove the existence and uniqueness of the solution of the ...
Yaoyuan Zhang, Lihe Wang
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Rate of convergence in the Kolmogorov distance for the minimum contrast estimator in the Heston model [PDF]
European Journal of Mathematics and Applications, 2023 We develop a new explicit estimator of the mean reversion parameter in the Heston model by using the minimum contrast method. We obtain a bound on the Kolmogorov distance for the distribution of the approximate minimum contrast estimator and the normal ...
Jaya P. N. Bishwal
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Perfect hedging in rough Heston models [PDF]
The Annals of Applied Probability, 2017 Rough volatility models are known to reproduce the behavior of historical volatility data while at the same time fitting the volatility surface remarkably well, with very few parameters. However, managing the risks of derivatives under rough volatility can be intricate since the dynamics involve fractional Brownian motion.
Omar El Euch, Mathieu Rosenbaum
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