In this paper, the author describes a simple adaptive Filon method that performs better and more accurately than various popular alternatives for pricing options under the Heston model.
A new closed-form approximation is applied to quanto CDS pricing
BAML quant proposes option pricing model that softens conflict between the two properties
New approach delivers quick and accurate computation of prices
Dominique Bang introduces a novel LSV approach to term distribution modelling
This paper considers the classical optimal investment allocation problem of Merton through the lens of some more modern approaches, such as the stochastic volatility and local volatility models.
Amine Ahallal and Olaf Torne add a knock-out barrier to the standard corridor variance swap
In this paper, the authors combine MS dynamic copulas with the skewed t SV model to study the optimal hedge ratios of portfolios.
SocGen quants calibrate local stochastic volatility models with stochastic dividends
An easy to calibrate and accurate swap market model is proposed
In this paper, the authors develop a procedure to reduce the variance when numerically computing the Greeks obtained via Malliavin calculus for jump–diffusion models with stochastic volatility.
Hybrid finite-difference/pseudospectral methods for the Heston and Heston–Hull–White partial differential equations
In this paper, the authors propose a hybrid spatial finite-difference/pseudospectral discretization for European option-pricing problems under the Heston and Heston–Hull–White models.
UBS quants show prices can differ by up to 25 correlation points if products modelled accurately
A correlation structure is an important element in pricing products such as correlation swaps
Fiorin, Callegaro and Grasselli show how discretisation methods reduce computing time in high-dimensional problems
In this paper, the authors study a hybrid tree/finite-difference method, which allows us to obtain efficient and accurate European and American option prices in the Heston–Hull– White and Heston–Hull–White2d models.
De Marco and Henry-Labordère provide an approximation of American options in terms of the local volatility function
Lorenzo Bergomi exposes a condition important to the use of LSV models in trading
This paper consists of a “horse race” study comparing (i) a number of option pricing models, and (ii) roll-over estimation procedures.
Austing and Li provide a continuous barrier options pricing formula that fits the volatility smile
Serguei Mechkov initialises Heston model’s parameters using probability distributions
This paper applies a variety of second-order finite difference schemes to the SABR arbitrage-free density problem and explores alternative formulations.
A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston–Cox–Ingersoll–Ross model
The paper concerns a hybrid pricing method build upon a combination of Monte Carlo and PDE approach for FX options under the four-factor Heston-CIR model.
The Authors introduce a closed-form approximation for the forward implied volatilities.