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

69^th place

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1jstor.org

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1nyu.edu

1,174^th place

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1uni-wuppertal.de

low place

1financepress.com

low place

arxiv.org (Global: 69^th place; English: 59^th place)

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.

doi.org (Global: 2^nd place; English: 2^nd place)

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 (Global: low place; English: low place)

url=https://financepress.com/2019/02/15/heston-model-reference-prices/

jstor.org (Global: 26^th place; English: 20^th place)

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 (Global: 1,174^th place; English: 773^rd place)

math.nyu.edu

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.

psu.edu (Global: 207^th place; English: 136^th place)

citeseerx.ist.psu.edu

Albrecher, H.; Mayer, P.; Schoutens, W.; Tistaert, J. (January 2007), "The little Heston trap", Wilmott Magazine: 83–92, CiteSeerX 10.1.1.170.9335
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)

semanticscholar.org (Global: 11^th place; English: 8^th place)

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 (Global: 703^rd place; English: 501^st place)

papers.ssrn.com

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)
Christoffersen, P.; Heston, S.; Jacobs, K. (2009). "The shape and term structure of the index option smirk: Why multifactor stochastic volatility models work so well". SSRN 1447362. {{cite journal}}: Cite journal requires |journal= (help)
Gauthier, P.; Possamai, D. (2009). "Efficient simulation of the double Heston model". SSRN 1434853. {{cite journal}}: Cite journal requires |journal= (help)
Guillaume, Florence; Schoutens, Wim (2013). "Heston model: The variance swap calibration". SSRN 2255550. {{cite journal}}: Cite journal requires |journal= (help)

tudelft.nl (Global: 7,640^th place; English: 6,190^th place)

resolver.tudelft.nl

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.
van der Weijst, Roel (2017). "Numerical solutions for the stochastic local volatility model". {{cite journal}}: Cite journal requires |journal= (help)

uni-wuppertal.de (Global: low place; English: low place)

math.uni-wuppertal.de

Kahl, C.; Jäckel, P. (2005). "Not-so-complex logarithms in the Heston model" (PDF). Wilmott Magazine: 74–103.

Heston model (English Wikipedia)

arxiv.org (Global: 69th place; English: 59th place)

doi.org (Global: 2nd place; English: 2nd place)