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Heston model (English Wikipedia)

Analysis of information sources in references of the Wikipedia article "Heston model" in English language version.

refsWebsite
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7doi.org
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5semanticscholar.org
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4ssrn.com
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3psu.edu
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2tudelft.nl
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2arxiv.org
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1jstor.org
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1nyu.edu
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773rd place
1uni-wuppertal.de
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1financepress.com
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arxiv.org

doi.org

  • Heston, Steven L. (1993). "A closed-form solution for options with stochastic volatility with applications to bond and currency options". Review of Financial Studies. 6 (2): 327–343. doi:10.1093/rfs/6.2.327. JSTOR 2962057. S2CID 16091300.
  • Carr, P.; Madan, D. (1999). "Option valuation using the fast Fourier transform" (PDF). Journal of Computational Finance. 2 (4): 61–73. CiteSeerX 10.1.1.6.9994. doi:10.21314/JCF.1999.043.
  • Benhamou, E.; Gobet, E.; Miri, M. (2009). "Time dependent Heston model". CiteSeerX 10.1.1.657.6271. doi:10.2139/ssrn.1367955. S2CID 12804395. SSRN 1367955. {{cite journal}}: Cite journal requires |journal= (help)
  • Grzelak, L.A.; Oosterlee, C.W. (2011). "On the Heston model with stochastic interest rates". SIAM Journal on Financial Mathematics. 2: 255–286. doi:10.1137/090756119. S2CID 9132119.
  • Cui, Y.; Del Baño Rollin, S.; Germano, G. (2017). "Full and fast calibration of the Heston stochastic volatility model". European Journal of Operational Research. 263 (2): 625–638. arXiv:1511.08718. doi:10.1016/j.ejor.2017.05.018. S2CID 25667130.
  • Kouritzin, M. (2018). "Explicit Heston solutions and stochastic approximation for path-dependent option pricing". International Journal of Theoretical and Applied Finance. 21: 1850006. arXiv:1608.02028. doi:10.1142/S0219024918500061. S2CID 158891879.
  • Le Floc'h, Fabien (2018). "An adaptive Filon quadrature for stochastic volatility models". Journal of Computational Finance. 22 (3): 65–88. doi:10.21314/JCF.2018.356.

financepress.com

jstor.org

  • Heston, Steven L. (1993). "A closed-form solution for options with stochastic volatility with applications to bond and currency options". Review of Financial Studies. 6 (2): 327–343. doi:10.1093/rfs/6.2.327. JSTOR 2962057. S2CID 16091300.

nyu.edu

math.nyu.edu

psu.edu

citeseerx.ist.psu.edu

semanticscholar.org

api.semanticscholar.org

  • Heston, Steven L. (1993). "A closed-form solution for options with stochastic volatility with applications to bond and currency options". Review of Financial Studies. 6 (2): 327–343. doi:10.1093/rfs/6.2.327. JSTOR 2962057. S2CID 16091300.
  • Benhamou, E.; Gobet, E.; Miri, M. (2009). "Time dependent Heston model". CiteSeerX 10.1.1.657.6271. doi:10.2139/ssrn.1367955. S2CID 12804395. SSRN 1367955. {{cite journal}}: Cite journal requires |journal= (help)
  • Grzelak, L.A.; Oosterlee, C.W. (2011). "On the Heston model with stochastic interest rates". SIAM Journal on Financial Mathematics. 2: 255–286. doi:10.1137/090756119. S2CID 9132119.
  • Cui, Y.; Del Baño Rollin, S.; Germano, G. (2017). "Full and fast calibration of the Heston stochastic volatility model". European Journal of Operational Research. 263 (2): 625–638. arXiv:1511.08718. doi:10.1016/j.ejor.2017.05.018. S2CID 25667130.
  • Kouritzin, M. (2018). "Explicit Heston solutions and stochastic approximation for path-dependent option pricing". International Journal of Theoretical and Applied Finance. 21: 1850006. arXiv:1608.02028. doi:10.1142/S0219024918500061. S2CID 158891879.

ssrn.com

papers.ssrn.com

tudelft.nl

resolver.tudelft.nl

uni-wuppertal.de

math.uni-wuppertal.de