Results 101 to 110 of about 2,164 (216)
Variational Formulation of American Option Prices in the Heston Model [PDF]
, 2019 Damien Lamberton, Giulia Terenzi
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Option pricing for Heston model with tempered fractional Brownian motion
Results in Applied MathematicsIn this paper, the Heston model with tempered fractional Brownian motion is derived by modified Hawkes processes. Based on the affine technique, we present the characteristic function under this model and prove the existence, uniqueness, and regularity ...
Zhengguang Shi
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A hybrid tree/finite-difference approach for Heston–Hull–White-type models [PDF]
, 2017 Maya Briani +2 more
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Correct implied volatility shapes and reliable pricing in the rough Heston model [PDF]
Svetlana Boyarchenko +1 more
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A tree-based method to price American options in the Heston model
, 2009 Michel Vellekoop, Hans Nieuwenhuis
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The Cost of Living Index as a Primary Driver of Homelessness in the United States: A Cross-State Analysis. [PDF]
Cureus, 2023 Heston TF.
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Safety of Large Language Models in Addressing Depression. [PDF]
Cureus, 2023 Heston TF.
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Option valuation with the Heston model
, 2022 Esta tese está dividida em duas partes. A primeira parte explica os fundamentos teóricos da avaliação de opções e explica a derivação do modelo de Heston. O modelo é derivado, examinado e otimizado. Para avaliar as opções americanas também no modelo de Heston, o Método das Diferenças Finitas é aplicado no modelo de Heston.
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Pricing of geometric Asian options in the Volterra-Heston model. [PDF]
Rev Deriv Res (Dordr)Aichinger F, Desmettre S.
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