Results 131 to 140 of about 27,645 (243)

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

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   +1 more source

Valuing Options in Heston′s Stochastic Volatility Model: Another Analytical Approach [PDF]

, 2011
Robert Frontczak
openalex   +1 more source

A decomposition formula for option prices in the Heston model and applications to option pricing approximation [PDF]

By means of classical Itô's calculus we decompose option prices as the sum of the classical Black-Scholes formula with volatility parameter equal to the root-mean-square future average volatility plus a term due by correlation and a term due to the ...
Elisa Alòs
core  

On Multistep Stabilizing Correction Splitting Methods with Applications\n to the Heston Model [PDF]

, 2017
Willem Hundsdorfer, Karel in ’t Hout
openalex   +1 more source

Calibration, Simulation and Hedging in a Heston Libor Market Model with Stochastic Basis

, 2010
Ahsan Amin
openalex   +1 more source

Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models [PDF]

, 2016
Ludovic Goudenège, Andrea Molent, Antonino Zanette   +2 more
openalex   +1 more source

Probability distribution of returns in the Heston model with stochastic volatility [PDF]

, 2002
Adrian A. Drǎgulescu, Victor M. Yakovenko   +1 more
openalex   +1 more source

Advanced strategies of portfolio management in the Heston market model [PDF]

, 2021
Jarosław Gruszka, Janusz Szwabiński
openalex   +1 more source

Deterministic value iteration for perpetual American put options

AIMS Mathematics
We introduce a deterministic, policy-targeted Bellman value-iteration framework for computing the optimal exercise boundary of perpetual American put options.
Eungpyo Kim, Jaegi Jeon
doaj   +1 more source