The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation
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- Kaustav Das & Nicolas Langren'e, 2018. "Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility," Papers 1812.07803, arXiv.org, revised Mar 2020.
- Luca De Gennaro Aquino & Carole Bernard, 2019. "Semi-analytical prices for lookback and barrier options under the Heston model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 715-741, December.
- Daniel Guterding & Wolfram Boenkost, 2018. "The Heston stochastic volatility model with piecewise constant parameters - efficient calibration and pricing of window barrier options," Papers 1805.04704, arXiv.org, revised Jan 2019.
- Kaustav Das & Nicolas Langren'e, 2020. "Explicit approximations for option prices via Malliavin calculus for the stochastic Verhulst volatility model," Papers 2006.01542, arXiv.org.
- Ferreiro-Ferreiro, Ana María & García-Rodríguez, José A. & Souto, Luis & Vázquez, Carlos, 2020. "A new calibration of the Heston Stochastic Local Volatility Model and its parallel implementation on GPUs," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 177(C), pages 467-486.
- Sergey Nasekin & Wolfgang Karl Hardle, 2020. "Model-driven statistical arbitrage on LETF option markets," Papers 2009.09713, arXiv.org.
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KeywordsHeston stochastic-local volatility; HSLV; stochastic volatility; local volatility; Heston; hybrid models; calibration; Monte Carlo;
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