Results 111 to 120 of about 13,841,708 (205)

Preference-free option pricing with path-dependent volatility: A closed-form approach [PDF]

This paper shows how one can obtain a continuous-time preference-free option pricing model with a path-dependent volatility as the limit of a discrete-time GARCH model.
Steven L. Heston, Saikat Nandi
core  

Supervised Machine Learning with Control Variates for American Option Pricing

Foundations of Computing and Decision Sciences, 2018
In this paper, we make use of a Bayesian (supervised learning) approach in pricing American options via Monte Carlo simulations. We first present Gaussian process regression (Kriging) approach for American options pricing and compare its performance in ...
Mu Gang, Godina Teodor, Maffia Antonio, Sun Yong Chao   +3 more
doaj   +1 more source

Hybrid machine learning and stochastic volatility models with blockchain data for high-frequency cryptocurrency trading

Discover Analytics
High-frequency cryptocurrency markets, particularly for Bitcoin and Ethereum, are characterized by extreme volatility with daily price fluctuations often surpassing 10%. Traditional stochastic volatility models, such as the Heston model, prove inadequate
Timothy King Avordeh, Christopher Quaidoo, Samuel Arthur   +2 more
doaj   +1 more source

Interpretability in deep learning for finance: A case study for the Heston model

Risk Sciences
Deep learning is a powerful tool whose applications in quantitative finance are growing every day. Yet, artificial neural networks behave as black boxes, and this introduces risks, hindering validation and accountability processes.
Damiano Brigo, Xiaoshan Huang, Andrea Pallavicini, Haitz Sáez de Ocáriz Borde   +3 more
doaj   +1 more source

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

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  

Deep Learning-Enhanced Calibration of the Heston Model: A Unified Framework

Mathematics
The Heston stochastic volatility model is widely used in financial mathematics for pricing European options. However, calibrating the model remains computationally demanding and is often sensitive to local minima due to its nonlinear structure and high ...
Arman Zadgar, Somayeh Fallah, Farshid Mehrdoust, Juan E. Trinidad Segovia   +3 more
doaj   +1 more source

Heritage Society (Houston)

Transcript of Letter from John M. Heston to Capt. Fred A.
Heston, John M.
core   +1 more source

Time-dependent Heston model [PDF]

, 2014
This work presents an exact solution to the generalized Heston model, where the model parameters are assumed to have linear time dependence The solution for the model in expressed in terms of confluent hypergeometric functions.
openaire   +2 more sources

Fractional Diffusion and Lévy Processes for Financial Derivative Pricing

Proceedings of the International Conference on Applied Innovations in IT
This paper develops a joint framework for the fractional diffusion equation driven by Lévy processes within a stochastic volatility setting, serving as an extension of the classical Heston model.
Muhannad F. Al- Saadony, Nasir A. Naser
doaj   +1 more source

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