Matches in SemOpenAlex for { <https://semopenalex.org/work/W1567603109> ?p ?o ?g. }
Showing items 1 to 58 of
58
with 100 items per page.
- W1567603109 endingPage "382" @default.
- W1567603109 startingPage "357" @default.
- W1567603109 abstract "The original Heston (1993) model is not always able to fit the implied volatility smile very well, especially at short maturities. The remedy is to add additional parameters, which allows the model to be more flexible. This can be accomplished by allowing the parameters to be time dependent, as was illustrated by the methods covered in Chapter 9. Another approach is to enrich the variance process. One simple way to do this is to specify a two-factor structure for the volatility. This is the approach of Christoffersen et al. (2009) in their double Heston model, which we present in this chapter. In this chapter, we first present the multi-dimensional Feynman-Kac theorem, and we show that the double Heston model is affine in the sense of Duffie et al. (2000). These results are used to obtain the characteristic function of the double Heston model. We then show how the double Heston model is a simple extension of its univariate counterpart, and how its extra parameters allow for a better fit of the implied volatility smile at multiple maturities. We also show that the “Little Trap” formulation of the characteristic function of Albrecher et al. (2007) can be applied to the double Heston model. Finally, we present different simulation schemes that can be applied to the double Heston model. Most of these schemes are extensions of univariate schemes presented in Chapter 7." @default.
- W1567603109 created "2016-06-24" @default.
- W1567603109 creator A5045035800 @default.
- W1567603109 date "2013-08-19" @default.
- W1567603109 modified "2023-09-23" @default.
- W1567603109 title "The Double Heston Model" @default.
- W1567603109 doi "https://doi.org/10.1002/9781118656471.ch12" @default.
- W1567603109 hasPublicationYear "2013" @default.
- W1567603109 type Work @default.
- W1567603109 sameAs 1567603109 @default.
- W1567603109 citedByCount "0" @default.
- W1567603109 crossrefType "other" @default.
- W1567603109 hasAuthorship W1567603109A5045035800 @default.
- W1567603109 hasConcept C105795698 @default.
- W1567603109 hasConcept C121332964 @default.
- W1567603109 hasConcept C121864883 @default.
- W1567603109 hasConcept C149782125 @default.
- W1567603109 hasConcept C161584116 @default.
- W1567603109 hasConcept C187625094 @default.
- W1567603109 hasConcept C199163554 @default.
- W1567603109 hasConcept C28826006 @default.
- W1567603109 hasConcept C33923547 @default.
- W1567603109 hasConcept C41008148 @default.
- W1567603109 hasConcept C85393063 @default.
- W1567603109 hasConcept C91602232 @default.
- W1567603109 hasConcept C93045229 @default.
- W1567603109 hasConceptScore W1567603109C105795698 @default.
- W1567603109 hasConceptScore W1567603109C121332964 @default.
- W1567603109 hasConceptScore W1567603109C121864883 @default.
- W1567603109 hasConceptScore W1567603109C149782125 @default.
- W1567603109 hasConceptScore W1567603109C161584116 @default.
- W1567603109 hasConceptScore W1567603109C187625094 @default.
- W1567603109 hasConceptScore W1567603109C199163554 @default.
- W1567603109 hasConceptScore W1567603109C28826006 @default.
- W1567603109 hasConceptScore W1567603109C33923547 @default.
- W1567603109 hasConceptScore W1567603109C41008148 @default.
- W1567603109 hasConceptScore W1567603109C85393063 @default.
- W1567603109 hasConceptScore W1567603109C91602232 @default.
- W1567603109 hasConceptScore W1567603109C93045229 @default.
- W1567603109 hasLocation W15676031091 @default.
- W1567603109 hasOpenAccess W1567603109 @default.
- W1567603109 hasPrimaryLocation W15676031091 @default.
- W1567603109 hasRelatedWork W145600822 @default.
- W1567603109 hasRelatedWork W1567672600 @default.
- W1567603109 hasRelatedWork W2039282896 @default.
- W1567603109 hasRelatedWork W2238911472 @default.
- W1567603109 hasRelatedWork W2260751156 @default.
- W1567603109 hasRelatedWork W2263238406 @default.
- W1567603109 hasRelatedWork W3121405099 @default.
- W1567603109 hasRelatedWork W3143492998 @default.
- W1567603109 hasRelatedWork W3149241334 @default.
- W1567603109 hasRelatedWork W4229988252 @default.
- W1567603109 isParatext "false" @default.
- W1567603109 isRetracted "false" @default.
- W1567603109 magId "1567603109" @default.
- W1567603109 workType "other" @default.