摘要翻译：
Heston模型从随机波动率(SV)模型中脱颖而出主要有两个原因。首先，波动率是一个非负的均值回归过程，这是我们在市场上观察到的。其次，对于欧式期权，存在一个快速且易于实现的半解析解。在本文中，我们将Heston(1993)的原始工作调整到一个外汇(FX)环境中。我们讨论了使用半解析公式的计算方面，执行蒙特卡罗模拟，检验Feller条件，和期权定价与FFT。在一个实证研究中，我们表明，通过适当地校准五个模型参数中的三个，香草期权的微笑可以再现。
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英文标题：
《FX Smile in the Heston Model》
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作者：
Agnieszka Janek, Tino Kluge, Rafal Weron, Uwe Wystup
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is non-negative and mean-reverting, which is what we observe in the markets. Secondly, there exists a fast and easily implemented semi-analytical solution for European options. In this article we adapt the original work of Heston (1993) to a foreign exchange (FX) setting. We discuss the computational aspects of using the semi-analytical formulas, performing Monte Carlo simulations, checking the Feller condition, and option pricing with FFT. In an empirical study we show that the smile of vanilla options can be reproduced by suitably calibrating three out of five model parameters.
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PDF链接：
https://arxiv.org/pdf/1010.1617