Results 121 to 130 of about 1,024,611 (253)
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
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The Derivation of a Multiquadric Variant Solver for the Three-Dimensional Heston-Hull-White PDE
AxiomsThe 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 +3 more
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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 +3 more
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Volatility Is Log-Normal—But Not for the Reason You Think
Risks, 2018 It is impossible to discriminate between the commonly used stochastic volatility models of Heston, log-normal, and 3-over-2 on the basis of exponentially weighted averages of daily returns—even though it appears so at first sight. However, with a 5-
Martin Tegnér, Rolf Poulsen
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Prices and Asymptotics for Discrete Variance Swaps
, 2013 We study the fair strike of a discrete variance swap for a general time-homogeneous stochastic volatility model. In the special cases of Heston, Hull-White and Schobel-Zhu stochastic volatility models we give simple explicit expressions (improving ...
Bernard, Carole, Cui, Zhenyu
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Smiles All Around: FX Joint Calibration in a Multi-Heston Model [PDF]
, 2012 Alvise De Col +2 more
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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
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Forecasting the Term Structure of Variance Swaps [PDF]
Recently, Diebold and Li (2003) obtained good forecasting results for yield curves in a reparametrized Nelson-Siegel framework. We analyze similar modeling approaches for price curves of variance swaps that serve nowadays as hedging instruments for ...
Kai Detlefsen, Wolfgang Härdle
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The Heston model under stochastic interest rates [PDF]
, 2008 Tese de mestrado, Matemática Financeira, Faculdade de Ciências, Universidade de Lisboa,2008In this dissertation the Heston (1993) model is considered, but using, instead of a constant interest rate, stochastic interest rates according to Vasicek (1977 ...
Marques, Hugo Miguel Fernandes
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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
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