Tap into the power of the most popular stochastic volatility model for pricing equity
derivatives Since its introduction in 1993, the Heston model has become a popular model for …

We develop an efficient Fourier-based numerical method for pricing Bermudan and
discretely monitored barrier options under the Heston stochastic volatility model. The two …

This paper presents an algorithm for a complete and efficient calibration of the Heston
stochastic volatility model. We express the calibration as a nonlinear least-squares problem …

In this paper, we consider the pricing of American options under a regime-switching double
Heston model, such that the interest rate and mean-reversion level parameters in both …

In this paper we develop an efficient tree approach for option pricing when the underlying
asset price follows a regime-switching model. The tree grows only linearly as the number of …

We develop quantum algorithms for pricing Asian and barrier options under the Heston
model, a popular stochastic volatility model, and estimate their costs, in terms of T-count, T …

This paper focuses on pricing American put options under the double Heston model
proposed by Christoffersen et al. By introducing an explicit exercise rule, we obtain the …

Stochastic volatility models can describe the evolution of financial assets, such as stocks,
currencies and commodities, better than the classic Black-Scholes model. Some strategic …

This paper demonstrates how to value American interest rate options under the jump-
extended constant-elasticity-of-variance (CEV) models. We consider both exponential jumps …

This study explores the impact of stochastic volatility in option pricing. To be more specific,
we compare the option pricing performance between stochastic volatility option pricing …