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An alternative form used to calibrate the Heston option pricing model

Journal Article


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Abstract


  • This paper presents an alternative form of the Heston model that preserves an essential advantage of the Heston model, its analytic tractability, by imposing the necessary and sufficient conditions for the existence of a solution in affine form, while it is in a different form so that it offers certain advantages in parameter determination. To demonstrate this, we conducted some empirical studies, exploring if this new form does have certain advantages over the original version under certain market conditions.

Publication Date


  • 2016

Citation


  • He, X. & Zhu , S. (2016). An alternative form used to calibrate the Heston option pricing model. Computers and Mathematics with Applications, 71 (9), 1831-1842.

Scopus Eid


  • 2-s2.0-84960517405

Ro Full-text Url


  • http://ro.uow.edu.au/cgi/viewcontent.cgi?article=6429&context=eispapers

Ro Metadata Url


  • http://ro.uow.edu.au/eispapers/5401

Has Global Citation Frequency


Number Of Pages


  • 11

Start Page


  • 1831

End Page


  • 1842

Volume


  • 71

Issue


  • 9

Place Of Publication


  • United Kingdom

Abstract


  • This paper presents an alternative form of the Heston model that preserves an essential advantage of the Heston model, its analytic tractability, by imposing the necessary and sufficient conditions for the existence of a solution in affine form, while it is in a different form so that it offers certain advantages in parameter determination. To demonstrate this, we conducted some empirical studies, exploring if this new form does have certain advantages over the original version under certain market conditions.

Publication Date


  • 2016

Citation


  • He, X. & Zhu , S. (2016). An alternative form used to calibrate the Heston option pricing model. Computers and Mathematics with Applications, 71 (9), 1831-1842.

Scopus Eid


  • 2-s2.0-84960517405

Ro Full-text Url


  • http://ro.uow.edu.au/cgi/viewcontent.cgi?article=6429&context=eispapers

Ro Metadata Url


  • http://ro.uow.edu.au/eispapers/5401

Has Global Citation Frequency


Number Of Pages


  • 11

Start Page


  • 1831

End Page


  • 1842

Volume


  • 71

Issue


  • 9

Place Of Publication


  • United Kingdom