IDEAS home Printed from https://ideas.repec.org/r/arx/papers/1010.1617.html
   My bibliography  Save this item

FX Smile in the Heston Model

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Cui, Yiran & del Baño Rollin, Sebastian & Germano, Guido, 2017. "Full and fast calibration of the Heston stochastic volatility model," European Journal of Operational Research, Elsevier, vol. 263(2), pages 625-638.
  2. Olena Burkovska & Maximilian Ga{ss} & Kathrin Glau & Mirco Mahlstedt & Wim Schoutens & Barbara Wohlmuth, 2016. "Calibration to American Options: Numerical Investigation of the de-Americanization," Papers 1611.06181, arXiv.org.
  3. Janek, Agnieszka, 2011. "The vanna - volga method for derivatives pricing," MPRA Paper 36127, University Library of Munich, Germany.
  4. Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2014. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 89-121.
  5. Elisa Alòs & Rafael De Santiago & Josep Vives, 2015. "Calibration Of Stochastic Volatility Models Via Second-Order Approximation: The Heston Case," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(06), pages 1-31.
  6. Adam Misiorek & Rafal Weron, 2010. "Heavy-tailed distributions in VaR calculations," HSC Research Reports HSC/10/05, Hugo Steinhaus Center, Wroclaw University of Technology.
  7. Nicole Wiebach & Lutz Hildebrandt, 2010. "Context Effects as Customer Reaction on Delisting of Brands," SFB 649 Discussion Papers SFB649DP2010-056, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  8. Ralf Sabiwalsky, 2010. "Executive Compensation Regulation and the Dynamics of the Pay-Performance Sensitivity," SFB 649 Discussion Papers SFB649DP2010-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  9. Leif Andersen & Alexander Lipton, 2012. "Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results," Papers 1206.6787, arXiv.org.
  10. Alexander Lipton & Andrey Gal & Andris Lasis, 2014. "Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results," Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 1899-1922, November.
  11. Basteck, Christian & Daniëls, Tijmen R., 2011. "Every symmetric 3×3 global game of strategic complementarities has noise-independent selection," Journal of Mathematical Economics, Elsevier, vol. 47(6), pages 749-754.
  12. Marjon Ruijter & Kees Oosterlee, 2012. "Two-dimensional Fourier cosine series expansion method for pricing financial options," CPB Discussion Paper 225.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  13. Alexander Lipton & Andrey Gal & Andris Lasis, 2013. "Pricing of vanilla and first generation exotic options in the local stochastic volatility framework: survey and new results," Papers 1312.5693, arXiv.org.
  14. Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe, 2010. "FX Smile in the Heston Model," MPRA Paper 25491, University Library of Munich, Germany.
  15. Eudald Romo & Luis Ortiz-Gracia, 2021. "SWIFT Calibration of the Heston Model," Mathematics, MDPI, vol. 9(5), pages 1-20, March.
  16. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021. "CBI-time-changed L\'evy processes for multi-currency modeling," Papers 2112.02440, arXiv.org, revised Jul 2022.
  17. Magdalena Weglarz & Agnieszka Wylomanska, 2010. "Optimal bidding strategies on the power market based on the stochastic models," HSC Research Reports HSC/10/06, Hugo Steinhaus Center, Wroclaw University of Technology.
  18. Enno Mammen & Christoph Rothe & Melanie Schienle, 2010. "Nonparametric Regression with Nonparametrically Generated Covariates," SFB 649 Discussion Papers SFB649DP2010-059, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  19. Szymon Borak & Adam Misiorek & Rafał Weron, 2010. "Models for Heavy-tailed Asset Returns," SFB 649 Discussion Papers SFB649DP2010-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  20. Ying Jiao & Chunhua Ma & Simone Scotti & Chao Zhou, 2021. "The Alpha‐Heston stochastic volatility model," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 943-978, July.
  21. Antoine Jacquier & Aleksandar Mijatović, 2014. "Large Deviations for the Extended Heston Model: The Large-Time Case," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(3), pages 263-280, September.
  22. Alessandro Gnoatto, 2017. "Coherent Foreign Exchange Market Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-29, February.
  23. Elisa Alòs & Rafael De Santiago & Josep Vives, 2012. "Calibration of stochastic volatility models via second order approximation: the Heston model case," Economics Working Papers 1346, Department of Economics and Business, Universitat Pompeu Fabra.
  24. Oliver Pfante & Nils Bertschinger, 2016. "Uncertainty Estimates in the Heston Model via Fisher Information," Papers 1610.04760, arXiv.org, revised Oct 2016.
  25. Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.
  26. Eudald Romo & Luis Ortiz-Gracia, 2021. "SWIFT calibration of the Heston model," Papers 2103.01570, arXiv.org.
  27. Franziska Schulze, 2010. "Spatial Dependencies in German Matching Functions," SFB 649 Discussion Papers SFB649DP2010-054, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  28. Vladimir Panov, 2010. "Estimation of the signal subspace without estimation of the inverse covariance matrix," SFB 649 Discussion Papers SFB649DP2010-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  29. Marjon Ruijter & Kees Oosterlee, 2012. "Two-dimensional Fourier cosine series expansion method for pricing financial options," CPB Discussion Paper 225, CPB Netherlands Bureau for Economic Policy Analysis.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.