Results 121 to 130 of about 4,224 (208)

Fuzzy Uncertainty in the Heston Stochastic Volatility Model

, 2011
Stochastic volatility models for option pricing are suitable to explain many empirical stylized facts in financial markets. Among the other models, Heston provides a good analytical tractability because a quasi closed formula for the price of a European ...
Figà Talamanca G., GUERRA, MARIA LETIZIA, Stefanini L.   +2 more
core  

The Cost of Living Index as a Primary Driver of Homelessness in the United States: A Cross-State Analysis. [PDF]

Cureus, 2023
Heston TF.
europepmc   +1 more source

Model and calibration risks for the Heston model

, 2010
Parameters of equity pricing models, such as the Heston's stochastic volatility model, have to be calibrated every day to new market data of European vanilla options by minimizing a particular functional. Hence, the optimal parameter set might turn out to vary significantly on a daily basis, depending on the quality of the initial guess and therefore ...
Guillaume, F.M.Y., Schoutens, W.
openaire   +1 more source

Dynamic forecasting and mechanisms of volatility synchronization in complex financial systems. [PDF]

PLoS One
Li JC, Guo J, Ma R, Zhong G.
europepmc   +1 more source

Safety of Large Language Models in Addressing Depression. [PDF]

Cureus, 2023
Heston TF.
europepmc   +1 more source

Monte Carlo Simulation of Heston Model in MATLAB GUI

, 2006
In the Black-Scholes model, the volatility considered being deterministic and it causes some inefficiencies and trends in pricing options. It has been proposed by many authors that the volatility should be modelled by a stochastic process.
Kheirollah, Amir
core  

Heston model weak approximation by uniformly distributed random variables.

, 2016
In this thesis we examine one of the most popular stochastic volatility option pricing Heston model. Our aim is to construct first-order weak approximation of Heston model by uniformly distributed random variables (UVSS) and to compare obtained results ...
Adomavičiūtė, Agnė,
core  

Markovian structure of the Volterra Heston model

, 2019
International audienceWe characterize the Markovian and affine structure of the Volterra Heston model in terms of an infinite-dimensional adjusted forward process and specify its state space. More precisely, we show that it satisfies a stochastic partial
Abi Jaber, Eduardo, El Euch, Omar
core  

Significance, Fragility, and Robustness in Clinical Trials: Stratifying Statistical Evidence. [PDF]

Cureus
Heston TF.
europepmc   +1 more source