Leitao, AlvaroKirkby, J. LarsOrtiz Gracia, Luis2023-05-232023-05-232021-03-011460-1559https://hdl.handle.net/2445/198346This 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 (...)44 p.application/pdfeng(c) Infopro Digital, 2021Estadística matemàticaAnàlisi de FourierMatemàtica aplicadaMètode de MontecarloMathematical statisticsFourier analysisApplied mathematicsMonte Carlo methodinfo:eu-repo/semantics/article7340462023-05-23info:eu-repo/semantics/openAccess