2 papers
math.AP2025
Deep Learning-Enhanced Calibration of the Heston Model: A Unified Framework
Arman Zadgar, Somayeh Fallah, Farshid Mehrdoust +1
The Heston stochastic volatility model is a widely used tool in financial mathematics for pricing European options. However, its calibration remains computationally intensive and s…
math.PR2022
Foreign exchange options on Heston-CIR model under Lévy process framework
Giacomo Ascione, Farshid Mehrdoust, Giuseppe Orlando +1
In this paper, we consider the Heston-CIR model with Lévy process for pricing in the foreign exchange (FX) market by providing a new formula that better fits the distribution of pr…