论文标题
固定赫斯顿模型：使用产品递归量化的外来者的校准和定价
Stationary Heston model: Calibration and Pricing of exotics using Product Recursive Quantization
论文作者
论文摘要
标准赫斯顿模型的一个主要缺点是，它的隐含波动表面在看短期成熟度时不会产生足够陡峭的微笑。因此，我们介绍了固定的赫斯顿模型，在该模型中，我们通过校准参数来代替波动率的确定性初始条件，并显示出该模型比标准的Heston模型产生更陡峭的微笑。我们还基于产品递归量化的数值解决方案，以评估外来选项（百慕大和障碍选项）。
A major drawback of the Standard Heston model is that its implied volatility surface does not produce a steep enough smile when looking at short maturities. For that reason, we introduce the Stationary Heston model where we replace the deterministic initial condition of the volatility by its invariant measure and show, based on calibrated parameters, that this model produce a steeper smile for short maturities than the Standard Heston model. We also present numerical solution based on Product Recursive Quantization for the evaluation of exotic options (Bermudan and Barrier options).
