Results 111 to 120 of about 4,224 (208)

The Pricing Kernel in the Heston and Nandi (2000) and Heston (1993) Index Option Pricing Model: An Empirical Puzzle [PDF]

, 2014
This thesis estimates a quadratic pricing kernel developed by Christoffersen, Heston and Jacobs (2013) under the Heston-Nandi GARCH pricing model, using both American and Canadian data.
Sun, Qi
core  

Option pricing for Heston model with tempered fractional Brownian motion

Results in Applied Mathematics
In 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
doaj   +1 more source

Legendre Transform Dual Asymptotic Solution for Insurers Under the Heston Local-Stochastic Volatility Model: A Comparison of Variance Premium and Expected Value Principles

Journal of Mathematics
This study examines optimal investment and reinsurance strategies for two competing insurers who are concerned with their relative performance. Each insurer can purchase reinsurance and invest in a financial market consisting of one risk-free asset and ...
Winfrida Felix Mwigilwa
doaj   +1 more source

Heston Model

, 2020
Tema ovog rada je modeliranje cijene dionica Hestonovim modelom te određivanje poštene premije za Europske opcije. U prvom dijelu rada predstavljena je obrađena je osnovna teorija za modeliranje cijene dionica te je predstavljen Black-Scholes-Mertonov ...
Trstenjak, Zlatko
core  

The Heston Model - Stochastic Volatility and Approximation [PDF]

, 2009
The crude assumption on log normal stock returns and constant volatility in the Black-Scholes model is a big constraint which constructs smile and skew inconsistent prices.
Karlsson, Patrik
core  

Empirical Applications of Neoclassical Growth Models the "Fit" of the Solow Augmented Growth Model [PDF]

The theories of country growth models are supported by the high scale variation observed in these countries’ growth rates. This is the reason behind those typical questions, like “Why did some East Asian countries grow so much?”, amongst others ...
Jalles, João Tovar
core  

On cross-currency models with stochastic volatility and correlated interest rates

We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full matrix of correlations. We frst deal with a foreign exchange (FX) model of Heston-type, in which the domestic and foreign interest rates ...
Grzelak, Lech, Oosterlee, Kees
core  

The Heston model with term structure

, 2009
The purpose of this project is to extend the Heston model in order to incorporate the term structure (TS) of the implied volatility surface. This includes implementing a TS within the Heston model and its calibration to a set of market instruments.
Li, J. (author)
core  

Pricing of geometric Asian options in the Volterra-Heston model. [PDF]

Rev Deriv Res (Dordr)
Aichinger F, Desmettre S.
europepmc   +1 more source