Stationary Heston model: calibration and pricing of exotics using product recursive quantization

Stationary Heston model: calibration and pricing of exotics using product recursive quantization

Product Recursive Quantization is used to price exotic options in the Stationary Heston model, a model that generates more realistic volatility surfaces than the original Heston model

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Quantitative finance 2022-04, Vol.22 (4), p.611-629
Hauptverfasser: Lemaire, Vincent, Montes, Thibaut, Pagès, Gilles
Format: Artikel
Sprache:eng
Schlagworte:
Computational Finance
General Finance
Mathematics
Probability
Quantitative Finance
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:Product Recursive Quantization is used to price exotic options in the Stationary Heston model, a model that generates more realistic volatility surfaces than the original Heston model
ISSN:1469-7688
1469-7696
DOI:10.1080/14697688.2021.2023205