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Lifting the Heston model [PDF]
Quantitative Finance, 2019 Quantitative Finance, Taylor & Francis (Routledge), In ...
Eduardo Abi Jaber
exaly +7 more sources
Calibration and simulation of Heston model
Open Mathematics, 2017 We calibrate Heston stochastic volatility model to real market data using several optimization techniques. We compare both global and local optimizers for different weights showing remarkable differences even for data (DAX options) from two consecutive ...
Jan Pospíšil
exaly +4 more sources
Underlying Dynamics of Typical Fluctuations of an Emerging Market Price Index: The Heston Model from Minutes to Months [PDF]
, 2005 We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian S\~ao Paulo Stock Exchange Index (IBOVESPA).
Barndorff-Nielsen +27 more
core +3 more sources
The Heston stochastic volatility model with piecewise constant parameters - efficient calibration and pricing of window barrier options [PDF]
J. Comput. Appl. Math. 343, 353 (2018), 2018 The Heston stochastic volatility model is a standard model for valuing financial derivatives, since it can be calibrated using semi-analytical formulas and captures the most basic structure of the market for financial derivatives with simple structure in
Boenkost, Wolfram, Guterding, Daniel
core +2 more sources
SWIFT Calibration of the Heston Model [PDF]
Mathematics, 2021 In the present work, the SWIFT method for pricing European options is extended to Heston model calibration. The computation of the option price gradient is simplified thanks to the knowledge of the characteristic function in closed form.
Eudald Romo, Luis Ortiz-Gracia
doaj +6 more sources
Analysis of parametric and non-parametric option pricing models [PDF]
Heliyon, 2022 In this paper, a closed-form analytical solution of option price under the Bi-Heston model is derived. Through empirical analysis, the advantages and disadvantages of the parametric pricing model are compared and analysed with those of the non-parametric
Qiang Luo +3 more
doaj +2 more sources
The Heston stochastic volatility model in Hilbert space [PDF]
arXiv, 2017 We extend the Heston stochastic volatility model to a Hilbert space framework. The tensor Heston stochastic variance process is defined as a tensor product of a Hilbert-valued Ornstein-Uhlenbeck process with itself. The volatility process is then defined
Benth, Fred Espen +1 more
core +2 more sources
A hybrid approach for the implementation of the Heston model [PDF]
IMA Journal of Management Mathematics, 2017 We propose a hybrid tree-finite difference method in order to approximate the Heston model. We prove the convergence by embedding the procedure in a bivariate Markov chain and we study the convergence of European and American option prices.
Briani, Maya +2 more
core +7 more sources
Asymptotic arbitrage in the Heston model [PDF]
International Journal of Theoretical and Applied Finance, 2014 In the context of the Heston model, we establish a precise link between the set of equivalent martingale measures, the ergodicity of the underlying variance process and the concept of asymptotic arbitrage proposed in Kabanov-Kramkov and in Follmer ...
Haba, Fatma, Jacquier, Antoine
core +10 more sources
Small-time moderate deviations for the randomised Heston model [PDF]
J. Appl. Probab. 57 (2020) 19-28, 2020 We extend previous large deviations results for the randomised Heston model to the case of moderate deviations. The proofs involve the G\"artner-Ellis theorem and sharp large deviations tools.
Antoine Jacquier, Fangwei Shi
openalex +2 more sources