Results 121 to 130 of about 13,841,708 (205)

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   +1 more source

Option valuation using Heston model [PDF]

, 2016
학위논문 (석사)-- 서울대학교 대학원 : 산업공학과, 2016. 2. 장우진.Heston 모형은 변동성이 평균회귀 확률과정을 따르면서 기초자산의 가격변동과 상관관계가 있는 확률변동성 모형으로 기하학적 브라운 운동 모형보다 실제 시장 수익률 확률분포함수의 꼬리부분이 로그정규분포보다 더 천천히 감소하는 두꺼운 꼬리 효과를 가진다.
김선도
core  

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

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

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

Variability among large language models in assessing CONSORT compliance of published randomized clinical trials. [PDF]

PLoS One
Tsybulnik DY, Gillette JJ, Heston TF.
europepmc   +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

Sociodemographic and Clinical Factors Impact Non-Live Vaccine Coverage After Pediatric Solid Organ Transplantation: A Single Center Study. [PDF]

Pediatr Transplant
Blatt AZ, Wang Y, Chang YC, Heston SM.
europepmc   +1 more source