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http://hdl.handle.net/2445/198346
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DC Field | Value | Language |
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dc.contributor.author | Leitao, Alvaro | - |
dc.contributor.author | Kirkby, J. Lars | - |
dc.contributor.author | Ortiz Gracia, Luis | - |
dc.date.accessioned | 2023-05-23T10:58:06Z | - |
dc.date.available | 2023-05-23T10:58:06Z | - |
dc.date.issued | 2021-03-01 | - |
dc.identifier.issn | 1460-1559 | - |
dc.identifier.uri | http://hdl.handle.net/2445/198346 | - |
dc.description.abstract | This work presents an efficient computational framework for pricing a general class of exotic and vanilla options under a versatile stochastic volatility model. In particular, we propose the use of a finite state continuous time Markov chain (CTMC) model, which closely approximates the classic Heston model but enables a simplified approach for consistently pricing a wide variety of financial derivatives (...) | - |
dc.format.extent | 44 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Infopro Digital | - |
dc.relation.isformatof | Reproducció del document publicat a: https://doi.org/10.21314/JCF.2020.398 | - |
dc.relation.ispartof | Journal Of Computational Finance, 2021, vol. 24, num. 4, p. 71-114 | - |
dc.relation.uri | https://doi.org/10.21314/JCF.2020.398 | - |
dc.rights | (c) Infopro Digital, 2021 | - |
dc.source | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) | - |
dc.subject.classification | Estadística matemàtica | - |
dc.subject.classification | Anàlisi de Fourier | - |
dc.subject.classification | Matemàtica aplicada | - |
dc.subject.classification | Mètode de Montecarlo | - |
dc.subject.other | Mathematical statistics | - |
dc.subject.other | Fourier analysis | - |
dc.subject.other | Applied mathematics | - |
dc.subject.other | Monte Carlo method | - |
dc.title | The CTMC-Heston model: calibration and exotic option pricing with SWIFT | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/publishedVersion | - |
dc.identifier.idgrec | 734046 | - |
dc.date.updated | 2023-05-23T10:58:06Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
Files in This Item:
File | Description | Size | Format | |
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734046.pdf | 649.77 kB | Adobe PDF | View/Open |
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