Serving the Quantitative Finance Community
-
- lombardovito
- Posts: 0
- Joined:
pdf for Heston model
Hi, someone has the close form solution for Heston pdf?I have to calculate Heston vega?Can somebody help me?Stefano
pdf for Heston model
There is no closed-form solution.Look up for the papers by Dragulescu-Yakovenko, and very recently, Friz-Gulisahvili-Sturm-Gerhold.
pdf for Heston model
But in heston the vega of long expiration option is the same of black and scholes vega? in the short term I have to consider the partial derivative of Rho and volatility of volatility?? what is the difficult and difference between b&s and heston greek?is in the skew and kurtosis effect?