Efficient computations of prices and Greeks for autocallables under Heston model

Xiaobo Hu and Jungong Xue

Quantitative Finance, 2025, vol. 25, issue 8, 1199-1213

Abstract: With the incorporation of the conditional on one-step survival technique, estimators for the price and some Greeks of an autocallable are constructed under the Heston model. With some restrictions on the model parameters, these estimators have strong-order-one convergence with regards to the discretization of the variance process. Numerical examples illustrate superior performances of these estimators as well as their property of strong-order-one convergence.

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/14697688.2025.2544760 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:25:y:2025:i:8:p:1199-1213

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RQUF20

DOI: 10.1080/14697688.2025.2544760

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().