Results 91 to 100 of about 1,024,611 (253)
Exact simulation pricing with Gamma processes and their extensions [PDF]
, 2013 Exact path simulation of the underlying state variable is of great practical importance in simulating prices of financial derivatives or their sensitivities when there are no analytical solutions for their pricing formulas.
James, Lancelot F. +2 more
core +2 more sources
Rough PDEs for Local Stochastic Volatility Models
Mathematical Finance, EarlyView.ABSTRACT In this work, we introduce a novel pricing methodology in general, possibly non‐Markovian local stochastic volatility (LSV) models. We observe that by conditioning the LSV dynamics on the Brownian motion that drives the volatility, one obtains a time‐inhomogeneous Markov process. Using tools from rough path theory, we describe how to precisely
Peter Bank +3 more
wiley +1 more source
Journal of Futures Markets, Volume 45, Issue 6, Page 612-636, June 2025.ABSTRACT In this paper, we investigate alternative one‐factor and two‐factor continuous‐time models with both affine and non‐affine variance dynamics for the Chinese options market. Through extensive empirical analysis of the option panel fit and diagnostics, we find that it is necessary to include both the non‐affine feature and the multi‐factor ...
Yifan Ye, Zheqi Fan, Xinfeng Ruan
wiley +1 more source
Inventory effects on the price dynamics of VSTOXX futures quantified via machine learning
Journal of Finance and Data Science, 2021 The VSTOXX index tracks the expected 30-day volatility of the EURO STOXX 50 equity index. Futures on the VSTOXX index can, therefore, be used to hedge against economic uncertainty.
Daniel Guterding
doaj
, 2020 This paper deals with pricing of European and American options, when the underlying asset price follows Heston model, via the interior penalty discontinuous Galerkin finite element method (dGFEM).
Karasözen, Bülent +2 more
core +1 more source
The characteristic function of rough Heston models [PDF]
Mathematical Finance, 2018 AbstractIt has been recently shown that rough volatility models, where the volatility is driven by a fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in order to reproduce the behavior of both historical and implied volatilities.
Mathieu Rosenbaum, Omar El Euch
openaire +3 more sources
Maddison‐style estimates of the evolution of the world economy: A new 2023 update
Journal of Economic Surveys, Volume 39, Issue 2, Page 631-671, April 2025.Abstract This paper surveys the literature on historical national accounting, discusses the importance of relative income benchmarks for, in particular, historical income estimates, and presents an update of long run global economic development with a new version of the Maddison Project Database (MPD).
Jutta Bolt, Jan Luiten van Zanden
wiley +1 more source
Affine forward variance models
, 2018 We introduce the class of affine forward variance (AFV) models of which both the conventional Heston model and the rough Heston model are special cases. We show that AFV models can be characterized by the affine form of their cumulant generating function,
Gatheral, Jim, Keller-Ressel, Martin
core +1 more source
Lifting the Heston model [PDF]
arXiv, 2018 How to reconcile the classical Heston model with its rough counterpart? We introduce a lifted version of the Heston model with n multi-factors, sharing the same Brownian motion but mean reverting at different speeds. Our model nests as extreme cases the classical Heston model (when n = 1), and the rough Heston model (when n goes to infinity).
arxiv
Malliavin differentiability of fractional Heston-type model and applications to option pricing [PDF]
arXiv, 2022 This paper defines fractional Heston-type (fHt) model as an arbitrage-free financial market model with the infinitesimal return volatility described by the square of a single stochastic equation with respect to fractional Brownian motion with Hurst parameter H in (0, 1). We extend the idea of Alos and [Alos, E., & Ewald, C. O. (2008).
arxiv