Efficient Pricing of European-Style Options under Heston’s Stochastic Volatility Model

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ISSN Print: 2162-2078
ISSN Online: 2162-2086
www.scirp.org/journal/tel
E-mail: tel@scirp.org

"Efficient Pricing of European-Style Options under Heston’s Stochastic Volatility Model"
written by Oleksandr Zhylyevskyy,
published by Theoretical Economics Letters, Vol.2 No.1, 2012

has been cited by the following article(s):

[1]	A semi-analytic valuation of American options under a two-state regime-switching economy
	2019

[2]	Option Pricing con volatilità stocastica: analisi ed implementazione del modello di Heston
	… di metodi e modelli per l' …, 2019

[3]	Unifying pricing formula for several stochastic volatility models with jumps
	Applied Stochastic Models in Business and Industry, 2017

[4]	Calibration and simulation of Heston model
	Open Mathematics, 2017

[5]	On calibration of stochastic and fractional stochastic volatility models
	European Journal of Operational Research, 2016

[6]	On Optimization Techniques for Calibration of Stochastic Volatility Models.
	2014

[7]	Advancing the universality of quadrature methods to any underlying process for option pricing
	Journal of Financial Economics.Elsevier, 2014

[8]	On optimization techniques for calibration of stochastic volatility models
	2014

[9]	Joint Characteristic Function of Stock Log-Price and Squared Volatility in the Bates Model and Its Asset Pricing Applications
	Theoretical Economics Letters, 2012

[1]	Numerical solution of American option pricing problem with volatility regimes THE 5TH INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE IN INFORMATION SYSTEMS (CIIS 2022): Intelligent and Resilient Digital Innovations for Sustainable Living, 2023 DOI:10.1063/5.0177792

[2]	A semi-analytic valuation of American options under a two-state regime-switching economy Physica A: Statistical Mechanics and its Applications, 2020 DOI:10.1016/j.physa.2019.122968

[3]	Unifying pricing formula for several stochastic volatility models with jumps Applied Stochastic Models in Business and Industry, 2017 DOI:10.1002/asmb.2248

[4]	Unifying pricing formula for several stochastic volatility models with jumps Applied Stochastic Models in Business and Industry, 2017 DOI:10.1002/asmb.2248

[5]	Calibration and simulation of Heston model Open Mathematics, 2017 DOI:10.1515/math-2017-0058

[6]	On calibration of stochastic and fractional stochastic volatility models European Journal of Operational Research, 2016 DOI:10.1016/j.ejor.2016.04.033

[7]	Advancing the universality of quadrature methods to any underlying process for option pricing Journal of Financial Economics, 2014 DOI:10.1016/j.jfineco.2014.07.014

[8]	Joint Characteristic Function of Stock Log-Price and Squared Volatility in the Bates Model and Its Asset Pricing Applications Theoretical Economics Letters, 2012 DOI:10.4236/tel.2012.24074

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