Show simple item record

2010-10-14Buch DOI: 10.18452/4275
FX Smile in the Heston Model
dc.contributor.authorJanek, Agnieszka
dc.contributor.authorKluge, Tino
dc.contributor.authorWeron, Rafał
dc.contributor.authorWystup, Uwe
dc.date.accessioned2017-06-16T00:12:53Z
dc.date.available2017-06-16T00:12:53Z
dc.date.created2010-10-27
dc.date.issued2010-10-14
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4927
dc.description.abstractAbstract: The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is nonnegative and mean-reverting, which is what we observe in the markets. Secondly, there exists a fast and easily implemented semi-analytical solution for European options. In this article we adapt the original work of Heston (1993) to a foreign exchange (FX) setting. We discuss the computational aspects of using the semi-analytical formulas, performing Monte Carlo simulations, checking the Feller condition, and option pricing with FFT. In an empirical study we show that the smile of vanilla options can be reproduced by suitably calibrating three out of five model parameters.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectHeston modeleng
dc.subjectstochastic volatilityeng
dc.subjectvanilla optioneng
dc.subjectMonte Carlo simulationeng
dc.subjectFeller conditioneng
dc.subjectoption pricing with FFTeng
dc.subject.ddc330 Wirtschaft
dc.titleFX Smile in the Heston Model
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100176464
dc.identifier.doihttp://dx.doi.org/10.18452/4275
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages34
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2010
local.edoc.container-issue47
local.edoc.container-year2010
local.edoc.container-erstkatid2195055-6

Show simple item record