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Consistent Pricing of SPX and VIX Options Using a Local-Stochastic Volatility Model with Heston Dynamics
Language: en
Pages: 73
A Regime-Switching Heston Model for VIX and S&P 500 Implied Volatilities
Language: en
Pages: 27
Authors: Andrew Papanicolaou
Categories:
Type: BOOK - Published: 2014 - Publisher:

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Volatility products have become popular in the past 15 years as a hedge against market uncertainty. In particular, there is growing interest in options on the V
Empirical Performance of Option Pricing Models with Stochastic Local Volatility
Language: en
Pages: 16
Authors: Greg Orosi
Categories:
Type: BOOK - Published: 2014 - Publisher:

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We examine the empirical performance of several stochastic local volatility models that are the extensions of the Heston stochastic volatility model. Our result
Consistent Inter-Model Specification for Time-Homogeneous SPX Stochastic Volatility and VIX Market Models
Language: en
Pages: 31
Authors: Andrew Papanicolaou
Categories:
Type: BOOK - Published: 2018 - Publisher:

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This paper shows how to recover stochastic volatility models (SVMs) from market models for the VIX futures term structure. Market models have more flexibility f
The Heston Stochastic Volatility Model with Piecewise Constant Parameters - Efficient Calibration and Pricing of Window Barrier Options
Language: en
Pages: 18
Authors: Daniel Guterding
Categories:
Type: BOOK - Published: 2019 - Publisher:

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We present a simple and numerically efficient approach to the calibration of the Heston stochastic volatility model with piecewise constant parameters. Extendin