The characteristic functions of many affine jump‐diffusion models, such as Heston's
stochastic volatility model and all of its extensions, involve multivalued functions such as the …

The characteristic functions of many affine jump-diffusion models, such as Heston's
stochastic volatility model and all of its extensions, involve multivalued functions such as the …

In Heston's stochastic volatility framework [Hes93], semi-analytical formulæ for plain vanilla
option prices can be derived. Unfortunately, these formulæ require the evaluation of …

We propose a multiscale stochastic volatility model in which a fast mean-reverting factor of
volatility is built on top of the Heston stochastic volatility model. A singular perturbative …

We derive an explicit representation of the transitions of the Heston stochastic volatility
model and use it for fast and accurate simulation of the model. Of particular interest is the …

We introduce an affine extension of the Heston model, called the‐Heston model, where the
instantaneous variance process contains a jump part driven by‐stable processes with. In this …

We deal with discretization schemes for the simulation of the Heston stochastic volatility
model. These simulation methods yield a popular and flexible pricing alternative for pricing …

The famous Black-Scholes model was the starting point of a new financial industry and has
been a very important pillar of all options trading since. One of its core assumptions is that …

The use of the Heston model is still challenging because it has a closed formula only when
the parameters are constant [S. Heston, Rev. Financ. Stud., 6 (1993), pp. 327–343] or …

In this paper we present a new approach for solving the pricing equations (PDEs) of
European call options for very general stochastic volatility models, including the Stein and …