Add to ORKGNumerous studies have presented evidence that certain financial assets may exhibit stochastic volatility or jumps, which cannot be captured within the Black-Scholes environment. This work investigates the valuation of power options when the variance follows the Heston model of stochastic volatility. A closed form representation of the characteristic function of the process is derived from the partial differential equation (PDE) of the replicating portfolio. The characteristic function is essential for the computation of the European power option prices via the Fast Fourier Transform (FFT) technique. Numerical results are presented. © 2012 Published by NTMSCI Selection and/or peer review under responsibility of NTMSCI Publication Societ
We propose a model to quantify the effect of parameter uncertainty on the option price in the Heston...
The Heston stochastic volatility model is one extension of the Black-Scholes model which describes t...
The celebrated Black-Scholes model on pricing a European option gives a simple and elegant pricing f...
Compound options are not only sensitive to future movements of the underlying asset price, but also ...
The Heston model is a partial differential equation which is used to price options and is a further ...
Heston’s stochastic volatility model is frequently employed by finance researchers and practitioners...
We are concerned with the valuation of European options in the Heston stochastic volatility model wi...
AbstractNumerous studies present strong empirical evidence that certain financial assets may exhibit...
Options are an important building block of modern financial markets. The theory underlying their val...
Options with extendable features have many applications in finance and these provide the motivation ...
The present work aims at evaluating options using the Heston model. This model is presented both fro...
The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reaso...
Empirical evidence shows that single-factor stochastic volatility models are not flexible enough to ...
We are concerned with the valuation of European options in Heston’s stochas-tic volatility model wit...
We focus on closed-form option pricing in Hestons stochastic volatility model, where closedform form...
We propose a model to quantify the effect of parameter uncertainty on the option price in the Heston...
The Heston stochastic volatility model is one extension of the Black-Scholes model which describes t...
The celebrated Black-Scholes model on pricing a European option gives a simple and elegant pricing f...
Compound options are not only sensitive to future movements of the underlying asset price, but also ...
The Heston model is a partial differential equation which is used to price options and is a further ...
Heston’s stochastic volatility model is frequently employed by finance researchers and practitioners...
We are concerned with the valuation of European options in the Heston stochastic volatility model wi...
AbstractNumerous studies present strong empirical evidence that certain financial assets may exhibit...
Options are an important building block of modern financial markets. The theory underlying their val...
Options with extendable features have many applications in finance and these provide the motivation ...
The present work aims at evaluating options using the Heston model. This model is presented both fro...
The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reaso...
Empirical evidence shows that single-factor stochastic volatility models are not flexible enough to ...
We are concerned with the valuation of European options in Heston’s stochas-tic volatility model wit...
We focus on closed-form option pricing in Hestons stochastic volatility model, where closedform form...
We propose a model to quantify the effect of parameter uncertainty on the option price in the Heston...
The Heston stochastic volatility model is one extension of the Black-Scholes model which describes t...
The celebrated Black-Scholes model on pricing a European option gives a simple and elegant pricing f...