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pdf for Heston model
Posted: January 24th, 2010, 8:28 pm
by lombardovito
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
Posted: January 25th, 2010, 8:08 am
by Antonio
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
Posted: January 25th, 2010, 9:49 am
by Quantosaurus
What exactly do you mean by vega?
pdf for Heston model
Posted: January 25th, 2010, 12:12 pm
by mcbison
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?