DOHYUN AHN, KYOUNG-KUK KIM, YOUNGHOON KIM, SMALL-TIME SMILE FOR THE MULTIFACTOR VOLATILITY HESTON MODEL, Journal of Applied Probability, Vol. 57, No. 4 (DECEMBER 2020), pp. 1070-1087 ...

The Heston Model is also a type of volatility smile model. "Smile" refers to the volatility smile, a graphical representation of several options with identical expiration dates that show ...

In the collocating volatility (CLV) model, the stochastic collocation technique is used as a convenient representation of the terminal distribution of the market option prices. A specific dynamic is ...

Stochastic volatility model combining Heston vol model and CIR++ Fitting the implied volatility surface is generally a complicated affair. Here, Claudio Pacati, Roberto Renò and Manola Santilli ...

We extend previous large deviations results for the randomised Heston model to the case of moderate deviations. The proofs involve the Gärtner–Ellis theorem and sharp large deviations tools. Alòs, E., ...

The crash, with its subsequent “exacerbation of smiles and skews in the implied volatility surface,” called into question the restrictive assumptions of the Black-Scholes model.

Understanding stock market returns hinges on understanding their volatility. Two simple but competing models have been dominant for decades: the Heston model, introduced in 1993, and the ...

Heston Model: A widely used framework that employs coupled stochastic differential equations to describe asset prices and their evolving volatility.

Stochastic volatility assumes that the price volatility of assets varies and is not constant over time, which is erroneously assumed by the Black Scholes model.

Stochastic volatility represents an essential framework for understanding the dynamic uncertainty inherent in financial markets. This approach extends traditional models by recognising that ...