Results 131 to 140 of about 1,024,611 (253)

A note on the Malliavin differentiability of the Heston volatility [PDF]

We show that the Heston volatility or equivalently the Cox-Ingersoll-Ross process is Malliavin differentiable and give an explicit expression for the derivative.
Christian-Olivier Ewald, Elisa Alòs
core  

On an improved computational solution for the 3D HCIR PDE in finance

Analele Stiintifice ale Universitatii Ovidius Constanta: Seria Matematica, 2019
The aim of this work is to tackle the three–dimensional (3D) Heston– Cox–Ingersoll–Ross (HCIR) time–dependent partial differential equation (PDE) computationally by employing a non–uniform discretization and gathering the finite difference (FD) weighting
Soleymani Fazlollah, Akgül Ali, Akgül Esra Karatas   +2 more
doaj   +1 more source

Stochastic representation of solutions to degenerate elliptic and parabolic boundary value and obstacle problems with Dirichlet boundary conditions

, 2013
We prove existence and uniqueness of stochastic representations for solutions to elliptic and parabolic boundary value and obstacle problems associated with a degenerate Markov diffusion process.
Feehan, Paul M. N., Pop, Camelia
core   +1 more source

Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications [PDF]

This paper studies the impact of stochastic volatility (SV) on optimal investment decisions. We consider three different SV models: an extended Stein/Stein model, the Heston Model and an extended Heston Model with a constant elasticity variance (CEV ...
Carl Chiarella, Chih-Ying Hsiao
core  

Pricing Volatility Referenced Assets

Revista Brasileira de Finanças, 2006
Volatility swaps are contingent claims on future realized volatility. Variance swaps are similar instruments on future realized variance, the square of future realized volatility.
Alan De Genaro Dario
doaj  

Distance to the line in the Heston model [PDF]

arXiv, 2014
The main object of study in the paper is the distance from a point to a line in the Riemannian manifold associated with the Heston model. We reduce the problem of computing such a distance to certain minimization problems for functions of one variable over finite intervals.
arxiv  

Local volatility in the Heston model: a Malliavin calculus approach [PDF]

, 2005
Christian‐Oliver Ewald
openalex   +1 more source

Efficient and robust calibration of the Heston option pricing model for American options using an improved Cuckoo Search Algorithm [PDF]

arXiv, 2015
In this paper an improved Cuckoo Search Algorithm is developed to allow for an efficient and robust calibration of the Heston option pricing model for American options. Calibration of stochastic volatility models like the Heston is significantly harder than classical option pricing models as more parameters have to be estimated.
arxiv  

SHORT-TERM OPTIONS WITH STOCHASTIC VOLATILITY: ESTIMATION AND EMPIRICAL PERFORMANCE [PDF]

This paper examines the stochastic volatility model suggested by Heston (1993). We employ a time-series approach to estimate the model and we discuss the potential effects of time-varying skewness and kurtosis on the performance of the model.
Gabriele Fiorentini, Gonzalo Rubio, Ángel León   +2 more
core  

Gamma Expansion of the Heston Stochastic Volatility Model [PDF]

, 2008
Paul Glasserman, Kyoung-Kuk Kim
openalex   +1 more source