The CTMC-Heston Model: Calibration and Exotic Option Pricing with SWIFT

2019 ◽  
Author(s):  
Alvaro Leitao Rodriguez ◽  
Justin Kirkby ◽  
Luis Ortiz-Gracia
Keyword(s):  
Option Pricing ◽  
Model Calibration ◽  
Heston Model ◽  
Exotic Option ◽  
Exotic Option Pricing

The CTMC–Heston model: calibration and exotic option pricing with SWIFT

2021 ◽  
Author(s):  
Álvaro Leitao ◽  
J Kirkby ◽  
Luis Ortiz-Gracia
Keyword(s):  
Option Pricing ◽  
Model Calibration ◽  
Heston Model ◽  
Exotic Option ◽  
Exotic Option Pricing

Accelerating Exotic Option Pricing and Model Calibration Using GPUs

2011 ◽  
Author(s):  
André Bernemann ◽  
Ralph Schreyer ◽  
Klaus Spanderen
Keyword(s):  
Option Pricing ◽  
Model Calibration ◽  
Exotic Option ◽  
Exotic Option Pricing

Exotic Option Pricing: A Simplified Approach

2011 ◽  
Author(s):  
Kurt Smith
Keyword(s):  
Option Pricing ◽  
Simplified Approach ◽  
Exotic Option ◽  
Exotic Option Pricing

THE BRITTEN-JONES AND NEUBERGER SMILE-CONSISTENT WITH STOCHASTIC VOLATILITY OPTION PRICING MODEL: A FURTHER ANALYSIS

2002 ◽  
Vol 05 (01) ◽  
pp. 1-31 ◽  
Author(s):  
ALESSANDRO ROSSI
Keyword(s):  
Option Pricing ◽  
Stochastic Volatility ◽  
Pricing Model ◽  
Pricing Models ◽  
No Arbitrage ◽  
Option Pricing Model ◽  
Exotic Option ◽  
Exotic Option Pricing ◽  
Insight Into

In part of the recent financial literature, exotic option pricing models have been built by establishing a link with European-style options. All these models share the characteristic of being consistent with the observed market smile. They differ respect to the specification of the volatility process. This paper provides a deeper insight into the Britten-Jones and Neuberger (1999) smile-consistent no arbitrage with stochastic volatility option pricing model. Their approach is similar, in spirit, to that one of Derman and Kani (1997), but the implementation is simpler and faster. We explain the main features of the model by performing a set of exercises. In addition we propose some extensions of the model, which make it more flexible.

Sign in / Sign up

Export Citation Format

Share Document