An explicitly solvable Heston model with stochastic interest rate

Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?

“…Finally, we fit our model to the fish pool market, estimate the parameters and test the fitting performance of our model. This agenda is in line with recent outputs in the Operations Research literature, in particular Recchioni & Sun (2016), Mrázek et al (2016), Date & Islyaev (2016) and Rambeerich et al (2013). However the models presented there do not capture seasonal effects in stochastic volatility and convenience yield, which are fundamentally important in commodity markets, not only from an operational point of view.…”

Testing for correlation between survival probabilities: an analytically tractable stochastic model

“…That is, negative values of ρ Y imply larger values of the survival probability. This is due to the fact that decreasing values of ρ Y correspond to decreasing values of the variance ϕ given in (18). Thus, by virtue of Ito's lemma and Eq.…”

The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications

“…This topic is discussed further in Section 3.3. Finally, we provide a one-dimensional integral representation formula for European call and put options in the multi-factor Heston model following the approach in Recchioni and Sun (2016). These formulas are used as an exact benchmark against which to test the accuracy of our option price approximations.…”

“…Appendix C: Formulas derived from Recchioni and Sun (2016) Starting from the approach of Recchioni and Sun (2016), with a straightforward computation, the following explicit formulas for the option prices in the multi-factor Heston model are derived (see the online supplementary material):…”