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Full and fast calibration of the Heston stochastic volatility model

Citations

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Cited by:

  1. Yu Feng & Ralph Rudd & Christopher Baker & Qaphela Mashalaba & Melusi Mavuso & Erik Schlögl, 2021. "Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models," Risks, MDPI, vol. 9(1), pages 1-20, January.
  2. Pascal François & Lars Stentoft, 2021. "Smile‐implied hedging with volatility risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1220-1240, August.
  3. Hervé Andres & Pierre-Edouard Arrouy & Paul Bonnefoy & Alexandre Boumezoued & Sophian Mehalla, 2020. "Fast calibration of the LIBOR Market Model with Stochastic Volatility based on analytical gradient," Working Papers hal-02875623, HAL.
  4. Simon J. A. Malham & Anke Wiese & Yifan Xu, 2024. "Direct Inversion for the Squared Bessel Process and Applications," Papers 2412.16655, arXiv.org.
  5. Gaetano Bua & Daniele Marazzina, 2021. "On the application of Wishart process to the pricing of equity derivatives: the multi-asset case," Computational Management Science, Springer, vol. 18(2), pages 149-176, June.
  6. Pierre-Edouard Arrouy & Alexandre Boumezoued & Bernard Lapeyre & Sophian Mehalla, 2022. "Economic Scenario Generators: a risk management tool for insurance," Working Papers hal-03671943, HAL.
  7. Gudmundsson, Hilmar & Vyncke, David, 2019. "On the calibration of the 3/2 model," European Journal of Operational Research, Elsevier, vol. 276(3), pages 1178-1192.
  8. Fabozzi, Frank J. & Recchioni, Maria Cristina & Renò, Roberto, 2025. "Fifty years at the interface between financial modeling and operations research," European Journal of Operational Research, Elsevier, vol. 327(1), pages 1-21.
  9. Dupret, Jean-Loup & Hainaut, Donatien, 2021. "Portfolio insurance under rough volatility and Volterra processes," LIDAM Discussion Papers ISBA 2021026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  10. Oliver Pfante & Nils Bertschinger, 2019. "Information-Theoretic Analysis Of Stochastic Volatility Models," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-21, February.
  11. Fan, Qingqian & Feng, Sixian, 2022. "An empirical study on the characterization of implied volatility and pricing in the Chinese option market," Finance Research Letters, Elsevier, vol. 49(C).
  12. Erina Nanyonga & Juma Kasozi & Fred Mayambala & Hassan W. Kayondo & Matt Davison, 2025. "A Stochastic Model for Illiquid Stock Prices and its Conclusion about Correlation Measurement," Papers 2509.10553, arXiv.org.
  13. Giorgia Callegaro & Lucio Fiorin & Martino Grasselli, 2019. "Quantization meets Fourier: a new technology for pricing options," Annals of Operations Research, Springer, vol. 282(1), pages 59-86, November.
  14. Mehrdoust, Farshid & Noorani, Idin & Hamdi, Abdelouahed, 2023. "Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 204(C), pages 660-678.
  15. Recchioni, Maria Cristina & Iori, Giulia & Tedeschi, Gabriele & Ouellette, Michelle S., 2021. "The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications," European Journal of Operational Research, Elsevier, vol. 293(1), pages 336-360.
  16. Oliver Pfante & Nils Bertschinger, 2019. "Volatility Inference And Return Dependencies In Stochastic Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-44, May.
  17. Shuaiqiang Liu & Anastasia Borovykh & Lech A. Grzelak & Cornelis W. Oosterlee, 2019. "A neural network-based framework for financial model calibration," Papers 1904.10523, arXiv.org.
  18. Eudald Romo & Luis Ortiz-Gracia, 2021. "SWIFT calibration of the Heston model," Papers 2103.01570, arXiv.org.
  19. Kontosakos, Vasileios E. & Mendonca, Keegan & Pantelous, Athanasios A. & Zuev, Konstantin M., 2021. "Pricing discretely-monitored double barrier options with small probabilities of execution," European Journal of Operational Research, Elsevier, vol. 290(1), pages 313-330.
  20. Gero Junike & Hauke Stier, 2024. "Enhancing Fourier pricing with machine learning," Papers 2412.05070, arXiv.org.
  21. Pierre-Edouard Arrouy & Alexandre Boumezoued & Bernard Lapeyre & Sophian Mehalla, 2022. "Economic Scenario Generators: a risk management tool for insurance," Post-Print hal-03671943, HAL.
  22. Anna Clevenhaus & Claudia Totzeck & Matthias Ehrhardt, 2025. "A Space Mapping approach for the calibration of financial models with the application to the Heston model," Papers 2501.14521, arXiv.org.
  23. Eudald Romo & Luis Ortiz-Gracia, 2021. "SWIFT Calibration of the Heston Model," Mathematics, MDPI, vol. 9(5), pages 1-20, March.
  24. Sascha Desmettre, 2018. "Change of Measure in the Heston Model given a violated Feller Condition," Papers 1809.10955, arXiv.org, revised Oct 2019.
  25. Feng, Chengxiao & Tan, Jie & Jiang, Zhenyu & Chen, Shuang, 2020. "A generalized European option pricing model with risk management," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  26. Herv'e Andres & Pierre-Edouard Arrouy & Paul Bonnefoy & Alexandre Boumezoued & Sophian Mehalla, 2020. "Fast calibration of the LIBOR Market Model with Stochastic Volatility based on analytical gradient," Papers 2006.13521, arXiv.org.
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