Results 191 to 200 of about 13,841,708 (205)
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Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
Quantitative Finance, 2013Justin Wan
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An alternative form used to calibrate the Heston option pricing model
Computers and Mathematics With Applications, 2016Song-Ping Zhu, Xin-Jiang He
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Asymptotic formulae for implied volatility in the Heston model
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences, 2010Martin Forde +2 more
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A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model
Applied Mathematical Finance, 2007Jia-Hau Guo, Mao-Wei Hung
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The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model
SIAM Journal on Financial Mathematics, 2012Martin Forde +2 more
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A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model
SIAM Journal on Financial Mathematics, 2011Cornelis
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Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model
SIAM Journal on Financial Mathematics, 2010Jean-Pierre Fouque, Martin Forde
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Numerical Simulation of the Heston Model under Stochastic Correlation
International Journal of Financial Studies, 2018Long Teng +2 more
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