Stationary Heston model: calibration and pricing of exotics using product recursive quantization

Vincent Lemaire, Thibaut Montes and Gilles Pagès

Quantitative Finance, 2022, vol. 22, issue 4, 611-629

Abstract: Product Recursive Quantization is used to price exotic options in the Stationary Heston model, a model that generates more realistic volatility surfaces than the original Heston model

Date: 2022
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DOI: 10.1080/14697688.2021.2023205

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