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Showing 1 to 1 of 1 for “"Cosine method"”.

  1. The Lifted Heston Stochastic Volatility Model

    Broodryk, RyanAfrican Institute of Financial Markets and Risk Management2020

    … how to price options with it using both the cosine method and standard Monte-Carlo techniques. This allows us to back out implied volatilities and compute skew for both models, confirming that the Lifted Heston nests the standard Heston model. We then produce and analyze the skew for Lifted …

    cape-town Repository record