{"id":"https://openalex.org/W336594138","doi":"https://doi.org/10.1142/s0219024915500363","title":"CALIBRATION OF STOCHASTIC VOLATILITY MODELS VIA SECOND-ORDER APPROXIMATION: THE HESTON CASE","display_name":"CALIBRATION OF STOCHASTIC VOLATILITY MODELS VIA SECOND-ORDER APPROXIMATION: THE HESTON CASE","publication_year":2015,"publication_date":"2015-08-19","ids":{"openalex":"https://openalex.org/W336594138","doi":"https://doi.org/10.1142/s0219024915500363","mag":"336594138"},"language":"en","primary_location":{"id":"doi:10.1142/s0219024915500363","doi":"https://doi.org/10.1142/s0219024915500363","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0219024915500363","pdf_url":null,"source":{"id":"https://openalex.org/S173574685","display_name":"International Journal of Theoretical and Applied Finance","issn_l":"0219-0249","issn":["0219-0249","1793-6322"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-70","russia-white-list-3","vabb-shw"],"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Theoretical and Applied Finance","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5086082641","display_name":"Elisa Al\u00f2s","orcid":"https://orcid.org/0000-0003-4234-0671","observed_orcids":["https://orcid.org/0000-0003-4234-0671"]},"institutions":[{"id":"https://openalex.org/I170486558","display_name":"Universitat Pompeu Fabra","ror":"https://ror.org/04n0g0b29","country_code":"ES","type":"education","lineage":["https://openalex.org/I170486558"]},{"id":"https://openalex.org/I42134832","display_name":"Barcelona School of Economics","ror":"https://ror.org/02k09n368","country_code":"ES","type":"education","lineage":["https://openalex.org/I42134832"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"ELISA AL\u00d2S","raw_affiliation_strings":["Departament d'Economia i Empresa, Universitat Pompeu Fabra and Barcelona Graduate School of Economics, c/Ram\u00f3n Trias Fargas, 25\u201327, 08005 Barcelona, Spain"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Departament d'Economia i Empresa, Universitat Pompeu Fabra and Barcelona Graduate School of Economics, c/Ram\u00f3n Trias Fargas, 25\u201327, 08005 Barcelona, Spain","institution_ids":["https://openalex.org/I170486558","https://openalex.org/I42134832"]}]},{"author_position":"middle","author":{"id":null,"display_name":"RAFAEL DE SANTIAGO","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I4405253577","display_name":"IESE Business School","ror":"https://ror.org/00v9d4z37","country_code":"ES","type":"education","lineage":["https://openalex.org/I4405253577","https://openalex.org/I88155538"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"RAFAEL DE SANTIAGO","raw_affiliation_strings":["Department of Managerial Decision Sciences, IESE Business School, Av. Pearson 21, 08034 Barcelona, Spain"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Managerial Decision Sciences, IESE Business School, Av. Pearson 21, 08034 Barcelona, Spain","institution_ids":["https://openalex.org/I4405253577"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5038128542","display_name":"Josep Vives","orcid":"https://orcid.org/0000-0002-6279-1085","observed_orcids":["https://orcid.org/0000-0002-6279-1085"]},"institutions":[{"id":"https://openalex.org/I71999127","display_name":"Universitat de Barcelona","ror":"https://ror.org/021018s57","country_code":"ES","type":"education","lineage":["https://openalex.org/I71999127"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"JOSEP VIVES","raw_affiliation_strings":["Departament de Probabilitat, L\u00f2gica i Estad\u00edstica and Institut de Matem\u00e0tica de la Universitat de Barcelona (IMUB), Universitat de Barcelona, Gran Via 585, 08007 Barcelona, Spain"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Departament de Probabilitat, L\u00f2gica i Estad\u00edstica and Institut de Matem\u00e0tica de la Universitat de Barcelona (IMUB), Universitat de Barcelona, Gran Via 585, 08007 Barcelona, Spain","institution_ids":["https://openalex.org/I71999127"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":2.5528,"has_fulltext":false,"cited_by_count":22,"citation_normalized_percentile":{"value":0.90030842,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"18","issue":"06","first_page":"1550036","last_page":"1550036"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.00019999999494757503,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/heston-model","display_name":"Heston model","score":0.9509999752044678},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"stochastic volatility","score":0.8759999871253967},{"id":"https://openalex.org/keywords/model-calibration","display_name":"model calibration","score":0.9120000004768372},{"id":"https://openalex.org/keywords/second-order-approximation","display_name":"second-order approximation","score":0.8399999737739563},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"implied volatility","score":0.9810000061988831},{"id":"https://openalex.org/keywords/term-structure","display_name":"term structure","score":0.6129999756813049}],"concepts":[{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.6913160085678101},{"id":"https://openalex.org/C93045229","wikidata":"https://www.wikidata.org/wiki/Q5746554","display_name":"Heston model","level":5,"score":0.6910375356674194},{"id":"https://openalex.org/C165838908","wikidata":"https://www.wikidata.org/wiki/Q736777","display_name":"Calibration","level":2,"score":0.6327974796295166},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5286852717399597},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.47603774070739746},{"id":"https://openalex.org/C61797465","wikidata":"https://www.wikidata.org/wiki/Q1188986","display_name":"Term (time)","level":2,"score":0.47492653131484985},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4641149640083313},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.43729472160339355},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.42115771770477295},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4200923442840576},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.41676604747772217},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.39421963691711426},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.38402315974235535},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.18566730618476868},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.11245208978652954},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1142/s0219024915500363","doi":"https://doi.org/10.1142/s0219024915500363","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0219024915500363","pdf_url":null,"source":{"id":"https://openalex.org/S173574685","display_name":"International Journal of Theoretical and Applied Finance","issn_l":"0219-0249","issn":["0219-0249","1793-6322"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-70","russia-white-list-3","vabb-shw"],"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Theoretical and Applied Finance","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:wsi:ijtafx:v:18:y:2015:i:06:n:s0219024915500363","doi":null,"is_oa":false,"landing_page_url":"http://www.worldscientific.com/doi/abs/10.1142/S0219024915500363","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:RePEc:wsi:ijtafx:v:18:y:2015:i:06:p:1550036-1-1550036-31","doi":null,"is_oa":false,"landing_page_url":"http://www.worldscinet.com/cgi-bin/details.cgi?type=html&amp;id=pii:S0219024915500363","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":20,"referenced_works":["https://openalex.org/W1487597787","https://openalex.org/W1964489504","https://openalex.org/W1974832466","https://openalex.org/W1977153352","https://openalex.org/W2017297397","https://openalex.org/W2018055712","https://openalex.org/W2034258633","https://openalex.org/W2039661648","https://openalex.org/W2054388137","https://openalex.org/W2064978316","https://openalex.org/W2084044200","https://openalex.org/W2094206697","https://openalex.org/W2109082027","https://openalex.org/W2148080284","https://openalex.org/W2497583680","https://openalex.org/W3124191912","https://openalex.org/W3126075186","https://openalex.org/W4235593702","https://openalex.org/W4236751433","https://openalex.org/W4298313869"],"related_works":["https://openalex.org/W3125903539","https://openalex.org/W2107439442","https://openalex.org/W2506914110","https://openalex.org/W4254705496","https://openalex.org/W7036009868","https://openalex.org/W7036464061","https://openalex.org/W3124191912","https://openalex.org/W602731194","https://openalex.org/W1527361750","https://openalex.org/W4226455491"],"abstract_inverted_index":{"In":[0],"this":[1,48],"paper,":[2],"we":[3,35,50,78],"present":[4],"a":[5,25,29,37,123,127,131,156],"new,":[6],"simple":[7],"and":[8,17,32,153],"efficient":[9],"calibration":[10,68,95,112,129],"procedure":[11],"that":[12,65,77,94,102],"uses":[13],"both":[14],"the":[15,21,44,52,58,63,82,100,103,114],"short":[16,70],"long-term":[18],"behavior":[19,105],"of":[20,55,57,62,130],"Heston":[22,59],"model":[23],"in":[24,99],"coherent":[26],"fashion.":[27],"Using":[28,47],"suitable":[30],"Hull":[31],"White-type":[33],"formula,":[34],"develop":[36],"methodology":[38,148],"to":[39,43,72,88,118,125,134,143],"obtain":[40],"an":[41],"approximation":[42,133],"implied":[45],"volatility.":[46],"approximation,":[49],"calibrate":[51],"full":[53],"set":[54],"parameters":[56],"model.":[60],"One":[61],"reasons":[64],"makes":[66],"our":[67],"for":[69,85],"times":[71,87],"maturity":[73,109],"so":[74],"accurate":[75],"is":[76,96,149],"take":[79],"into":[80],"account":[81],"term":[83],"structure":[84],"large":[86],"maturity:":[89],"We":[90],"may":[91,139],"thus":[92],"say":[93],"not":[97],"\"memoryless,\"":[98],"sense":[101],"option's":[104],"far":[106],"away":[107],"from":[108],"does":[110],"influence":[111],"when":[113],"option":[115,136],"gets":[116],"close":[117],"expiration.":[119],"Our":[120],"results":[121],"provide":[122],"way":[124],"perform":[126],"quick":[128],"closed-form":[132],"vanilla":[135],"prices,":[137],"which":[138],"then":[140],"be":[141],"used":[142],"price":[144],"exotic":[145],"derivatives.":[146],"The":[147],"simple,":[150],"accurate,":[151],"fast":[152],"it":[154],"requires":[155],"minimal":[157],"computational":[158],"effort.":[159]},"counts_by_year":[{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":8},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":1}],"updated_date":"2026-09-29T14:09:16.559479","created_date":"2016-06-24T00:00:00"}
