Heston process
On the boundary conditions adopted in stochastic volatility option pricing models
The authors recommend boundary conditions that should be adopted when pricing European- and American-style options under the Heston model.
Automatic differentiation for diffusion operator integral variance reduction
This paper demonstrates applications of automatic differentiation with nested dual numbers in the diffusion operator integral variance-reduction framework originally proposed by Heath and Platen.
Rough volatility moves to exotic frontiers
New simulation scheme clears the way for broader application of the rough Heston model
Efficient simulation of affine forward variance models
Andersen's quadratic-exponential scheme is used for simulations of rough volatility models
Follow the moneyness
Barclays quants extend Bergomi’s skew stickiness ratio to all strikes
A review of tree-based approaches to solving forward–backward stochastic differential equations
This paper looks at ways of solving (decoupled) forward–backward stochastic differential equations numerically using regression trees.
Sticky varswaps
Bergomi's skew-stickiness ratio is extended to the setting of variance swaps
Expansion method for pricing foreign exchange options under stochastic volatility and interest rates
This paper applies the smart expansion method to the Heston–Hull–White model, which admits stochastic interest rates to enhance the model, and obtains the expansion formula for pricing options in the model up to second order.
An approximate solution for options market-making
An algorithm for the market-making of options on different underlyings is proposed
The CTMC–Heston model: calibration and exotic option pricing with SWIFT
This work presents an efficient computational framework for pricing a general class of exotic and vanilla options under a versatile stochastic volatility model.
Numerical techniques for the Heston collocated volatility model
In this paper, the authors discuss all aspects of derivative pricing under the Heston–CLV model: calibration with an efficient Fourier method; a Monte Carlo simulation with second-order convergence; and accurate partial differential equation pricing…
Quantifying model performance
Quality of replicating portfolio is used to measure performance of a model
The quadratic rough Heston model and the joint S&P 500/Vix smile calibration problem
A combination of rough volatility and price-feedback effect allows for SPX-Vix joint calibration
Numerical simulation and applications of the convection–diffusion–reaction
This paper develops two local mesh-free methods for designing stencil weights and spatial discretization, respectively, for parabolic partial differential equations (PDEs) of convection–diffusion–reaction type.
Complexity reduction for calibration to American options
In this paper, the authors propose and investigate a new method for the calibration to American option price data.
Roughening Heston
El Euch, Rosenbaum, Gatheral combine a rough volatility model with the classical Heston model
An adaptive Filon quadrature for stochastic volatility models
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.
You don’t need to sacrifice accuracy for flexibility
BAML quant proposes option pricing model that softens conflict between the two properties
Podcast: Dominique Bang on his stochastic local vol model
New approach delivers quick and accurate computation of prices
Importance sampling applied to Greeks for jump–diffusion models with stochastic volatility
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.