An alternative form used to calibrate the Heston option pricing model

详细信息    查看全文

• 作者：Xin-Jiang He ; Song-Ping Zhu ; ^{spz@uow.edu.au" class="auth_mail" title="E-mail the corresponding author}
• 关键词：Alternative form ; Heston model ; Affine solution ; Empirical studies
• 刊名：Computers & Mathematics with Applications
• 出版年：2016
• 出版时间：May 2016
• 年：2016
• 卷：71
• 期：9
• 页码：1831-1842
• 全文大小：372 K

文摘

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.