Cover Image

Efficient Importance Sampling under Heston Model: Short Maturity and Deep Out-of-the-Money Options

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Tu, Yun-Feng, Han, Chuan-Hsiang
Format:	Preprint
Published:	2025
Subjects:	Mathematical Finance Probability Computational Finance
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models
by: He, Jian, et al.
Published: (2025)

Simulating integrated Volterra square-root processes and Volterra Heston models via Inverse Gaussian
by: Jaber, Eduardo Abi, et al.
Published: (2025)

Option pricing in Sandwiched Volterra Volatility model
by: Di Nunno, Giulia, et al.
Published: (2022)

A discretization scheme for path-dependent FBSDEs and PDEs
by: Jang, Jiuk, et al.
Published: (2023)

Pricing American Options Time-Capped by a Drawdown Event
by: Palmowski, Zbigniew, et al.
Published: (2025)

Simulation of square-root processes made simple: applications to the Heston model
by: Jaber, Eduardo Abi
Published: (2024)

Basket Options with Volatility Skew: Calibrating a Local Volatility Model by Sample Rearrangement
by: Zaugg, Nicola F., et al.
Published: (2024)

Combined Mutiplicative-Heston Model for Stochastic Volatility
by: Moghaddam, M. Dashti, et al.
Published: (2018)

Chaotic Hedging with Iterated Integrals and Neural Networks
by: Neufeld, Ariel, et al.
Published: (2022)

Forward Performance Processes under Multiple Default Risks
by: Chong, Wing Fung, et al.
Published: (2026)

Pricing Barrier Options with DeepBSDEs
by: Ganesan, Narayan, et al.
Published: (2020)

Heston vol-of-vol and the VVIX
by: Healy, Jherek
Published: (2025)

Max- and min-stability under first-order stochastic dominance
by: Chambers, Christopher, et al.
Published: (2024)

Discrete approximation of risk-based prices under volatility uncertainty
by: Blessing, Jonas, et al.
Published: (2024)

Constrained optimal stopping under a regime-switching model
by: Arai, Takuji, et al.
Published: (2022)

Dimension Reduction in Martingale Optimal Transport: Geometry and Robust Option Pricing
by: Hiew, Joshua Zoen-Git, et al.
Published: (2023)

Theoretical and Empirical Validation of Heston Model
by: Cao, Zheng, et al.
Published: (2024)

Option pricing model under the G-expectation framework
by: Pei, Ziting, et al.
Published: (2026)

On Pricing of Discrete Asian and Lookback Options under the Heston Model
by: Perotti, Leonardo, et al.
Published: (2022)

KANOP: A Data-Efficient Option Pricing Model using Kolmogorov-Arnold Networks
by: Handal, Rushikesh, et al.
Published: (2024)

Designing On-Chain Options: Amortizing Perpetual Options
by: Bichuch, Maxim, et al.
Published: (2026)

SANOS Smooth strictly Arbitrage-free Non-parametric Option Surfaces
by: Buehler, Hans, et al.
Published: (2026)

From Volatility to Variance: A Skew-Enhanced SABR Model and Its Empirical Study in the Chinese Financial Options Market
by: Zhang, Wenxuan, et al.
Published: (2026)

Proactive Market Making and Liquidity Analysis for Everlasting Options in DeFi Ecosystems
by: Mohanty, Hardhik, et al.
Published: (2025)

European Options in Market Models with Multiple Defaults: the BSDE approach
by: Grigorova, Miryana, et al.
Published: (2026)

Dual Attainment in Multi-Period Multi-Asset Martingale Optimal Transport and Its Computation
by: Che, Charlie, et al.
Published: (2026)

Local signature-based expansions
by: Bandi, Federico M., et al.
Published: (2025)

Discrete-time weak approximation of a Black-Scholes model with drift and volatility Markov switching
by: Golomoziy, Vitaliy, et al.
Published: (2025)

Martingale property and moment explosions in signature volatility models
by: Jaber, Eduardo Abi, et al.
Published: (2025)

Pricing American options time-capped by a drawdown event in a Lévy market
by: Palmowski, Zbigniew, et al.
Published: (2025)

Regularity of Solutions of Mean-Field $G$-SDEs
by: Bollweg, Karl-Wilhelm Georg, et al.
Published: (2025)

Markovian projections for functionals of Itô semimartingales with jumps
by: Larsson, Martin, et al.
Published: (2025)

On weak notions of no-arbitrage in a 1D general diffusion market with interest rates
by: Anagnostakis, Alexis, et al.
Published: (2025)

On the structure of increasing profits in a 1D general diffusion market with interest rates
by: Anagnostakis, Alexis, et al.
Published: (2025)

On the Application of Laplace Transform to the Ruin Problem with Random Insurance Payments and Investments in a Risky Asset
by: Antipov, Viktor
Published: (2025)

Distortion risk measures of sums of two counter-monotonic risks
by: Huang, Chunle
Published: (2025)

Mean-Field SDEs driven by $G$-Brownian Motion
by: Bollweg, Karl-Wilhelm Georg, et al.
Published: (2024)

Linear reflected backward stochastic differential equations arising from vulnerable claims in markets with random horizon
by: Choulli, T., et al.
Published: (2024)

Multidimensional specific relative entropy between continuous martingales
by: Backhoff, Julio, et al.
Published: (2024)

On the Skew Stickiness Ratio
by: Fukasawa, Masaaki
Published: (2026)