Option Pricing under Heston Stochastic Volatility with Time-dependent Parameters


Pricing option under Heston stochastic volatility is challenging because it has a closed formula only when the parameters are constant or piecewise constant (Mikhailov and Nogel, 2003).  Applying Wei-Norman theorem (Wei and... [ view full abstract ]


  1. Chifai Lo (The Chinese University of Hong Kong)
  2. Chi Hei Christopher Liu (The Chinese University of Hong Kong)

Topic Areas

Options , Partial Differential Equations , Stochastic Volatility


PS » Poster Presentations (11:00 - Monday, 16th July)

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