Results 141 to 150 of about 1,024,611 (253)
Properties of the American price function in the Heston-type models [PDF]
arXiv, 2019 We study some properties of the American option price in the stochastic volatility Heston model. We first prove that, if the payoff function is convex and satisfies some regularity assumptions, then the option value function is increasing with respect to the volatility variable.
arxiv
Spot inversion in the Heston model
, 2008 We analyse the Heston stochastic volatility model under an inversion of spot. The result is that under the appropriate measure changes the resulting process is again a Heston type process whose parameters can be explicitly determined from those of the original process.
Baño Rollin, Sebastian del +1 more
openaire +4 more sources
Algorithmic complexity in the heston model [PDF]
, 2011 Henning Marxen +6 more
openalex +1 more source
Why do financial markets asymmetrically smile? A simple formula in the multi-factor Heston model [PDF]
A simple approach to determining the Gaussian kernel that constitutes the backbone of the multi-factor Heston model is proposed based on a suitable expansion in powers of volatilities of volatilities.
Iori, G. +3 more
core
Simulation Schemes for the Heston Model With Poisson Conditioning [PDF]
, 2022 Jaehyuk Choi, Yue Kuen Kwok
openalex +3 more sources
Theoretical and Empirical Validation of Heston Model [PDF]
arXivThis study focuses on the application of the Heston model to option pricing, employing both theoretical derivations and empirical validations. The Heston model, known for its ability to incorporate stochastic volatility, is derived and analyzed to evaluate its effectiveness in pricing options.
arxiv
The Heston Model and Its Extensions in Matlab and C# [PDF]
, 2013 Fabrice Douglas Rouah
openalex +1 more source
Safety of Large Language Models in Addressing Depression. [PDF]
Cureus, 2023 Heston TF.
europepmc +1 more source
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
Calibration Design of Implied Volatility Surfaces [PDF]
The calibration of option pricing models leads to the minimization of an error functional. We show that its usual specification as a root mean squared error implies fluctuating exotics prices and possibly wrong prices.
Kai Detlefsen, Wolfgang Härdle
core