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The CTMC-Heston model: calibration and exotic option pricing with SWIFT

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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 (...)

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Journal Of Computational Finance, 2021, vol. 24, num. 4, p. 71-114

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Articles publicats en revistes  (Econometria, Estadística i Economia Aplicada)

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The CTMC-Heston model: calibration and exotic option pricing with SWIFT