Results 111 to 120 of about 27,645 (243)

The Derivation of a Multiquadric Variant Solver for the Three-Dimensional Heston-Hull-White PDE

Axioms
The Heston-Hull-White (HHW) model is a generalization of the classical Heston approach that incorporates stochastic interest rates, making it a more accurate representation of financial markets.
Shuai Wang, Ziyang Wang, Yunfei Qi, Tao Liu   +3 more
doaj   +1 more source

Rate of convergence in the Kolmogorov distance for the minimum contrast estimator in the Heston model

European Journal of Mathematics and Applications, 2023
We develop a new explicit estimator of the mean reversion parameter in the Heston model by using the minimum contrast method. We obtain a bound on the Kolmogorov distance for the distribution of the approximate minimum contrast estimator and the normal ...
Jaya P. N. Bishwal
doaj  

An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab

, 2014
This paper analyses the implementation and calibration of the Heston Stochastic Volatility Model. We first explain how characteristic functions can be used to estimate option prices.
Crisostomo, Ricardo
core   +1 more source

An extension of Heston's SV model to Stochastic Interest Rates

, 2018
In 'A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options', Heston proposes a Stochastic Volatility (SV) model with constant interest rate and derives a semi-explicit valuation formula.
de Frutos, Javier, Gaton, Victor
core  

Multi-dimensional Legendre wavelets approach on the Black-Scholes and Heston Cox Ingersoll Ross equations

AIMS Mathematics, 2019
The one dimension Legendre Wavelet is a numerical method to solve one dimension equation. In this paper Black-Scholes equation (B-S), that has applied via single asset American option and Heston Cox- Ingersoll- Ross equation (HCIR), as partial ...
Jafar Biazar, Fereshteh Goldoust
doaj   +1 more source

Malliavin differentiability of the Heston volatility and applications to option pricing [PDF]

We prove that the Heston volatility is Malliavin differentiable under the classical Novikov condition and give an explicit expression for the derivative.
Alos, Elisa, Ewald, Christian-Oliver
core   +1 more source

Forecasting Latin-American Currency Exchange using Models with Static and Stochastic Volatility

Ingeniería, 2018
Context: The currency market is known as the most liquid market in the financial system. Its strong repercussion in the economy is tied to the capitalization and the impulse that this market offers through the increase of investments and therefore of ...
Laura Camila Roldán Martínez
doaj   +1 more source

Least squares estimation for the subcritical Heston model based on continuous time observations [PDF]

, 2018
We prove strong consistency and asymptotic normality of least squares estimators for the subcritical Heston model based on continuous time observations. We also present some numerical illustrations of our results.Comment: 22 pages. arXiv admin note: text
Barczy, Matyas, Nyul, Balazs, Pap, Gyula
core   +1 more source

Strong convergence of the Euler-Maruyama method for the stochastic volatility jump-diffusion model and financial applications

AIMS Mathematics
This work considered strong convergence of the Euler-Maruyama (EM) method for a stochastic volatility jump-diffusion model (SVJD model, for short).
Weiwei Shen, Yan Zhang
doaj   +1 more source

On an improved computational solution for the 3D HCIR PDE in finance

Analele Stiintifice ale Universitatii Ovidius Constanta: Seria Matematica, 2019
The aim of this work is to tackle the three–dimensional (3D) Heston– Cox–Ingersoll–Ross (HCIR) time–dependent partial differential equation (PDE) computationally by employing a non–uniform discretization and gathering the finite difference (FD) weighting
Soleymani Fazlollah, Akgül Ali, Akgül Esra Karatas   +2 more
doaj   +1 more source