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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
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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
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Pricing European Options in the Heston and the Double Heston models
Quantitative Methods in Economics, 2021 Two models of pricing European options are presented and compared in this paper, i.e. the Heston model and the double Heston model. As the models belong to the class of stochastic volatility models, particular attention is paid to the way the ...
Arkadiusz Orzechowski
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Uncertainty quantification and Heston model [PDF]
Journal of Mathematics in Industry, 2018 In this paper, we study the impact of the parameters involved in Heston model by means of Uncertainty Quantification. The Stochastic Collocation Method already used for example in computational fluid dynamics, has been applied throughout this work in ...
María Suárez-Taboada +3 more
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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 ...
Mrázek Milan, Pospíšil Jan
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Comparison of Option Pricing with Stochastic Volatility in Heston and Heston Nandi Model [PDF]
تحقیقات مالی, 2023 Objective The significance of the capital market in driving the economic growth and development of a country necessitates a thorough examination of this market from multiple perspectives.
Mohammad Reza Haddadi +1 more
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The Alpha‐Heston stochastic volatility model [PDF]
Mathematical Finance, 2021 AbstractWe introduce an affine extension of the Heston model, called the ‐Heston model, where the instantaneous variance process contains a jump part driven by ‐stable processes with . In this framework, we examine the implied volatility and its asymptotic behavior for both asset and VIX options.
Ying Jiao +3 more
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The Heston Model with Time-Dependent Correlation Driven by Isospectral Flows
Mathematics, 2021 In this work, we extend the Heston stochastic volatility model by including a time-dependent correlation that is driven by isospectral flows instead of a constant correlation, being motivated by the fact that the correlation between, e.g., financial ...
Long Teng
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SPX Calibration of Option Approximations under Rough Heston Model
Mathematics, 2021 The volatility of stock return does not follow the classical Brownian motion, but instead it follows a form that is closely related to fractional Brownian motion.
Siow Woon Jeng, Adem Kiliçman
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Heston-GA Hybrid Option Pricing Model Based on ResNet50
Discrete Dynamics in Nature and Society, 2022 (1) Background. This study aims to improve the accuracy of the pricing model. (2) Methods. Heston model is combined with ResNet50 convolutional neural network model. Based on the optimization of Heston model parameters by genetic algorithm (GA), ResNet50
Zheng Yang +3 more
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