Results 141 to 150 of about 27,645 (243)
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
Stability estimates for Discrete duality finite volume scheme of Heston model [PDF]
, 2017 Angela Handlovičová
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
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Small-time, large-time and $H\to 0$ asymptotics for the Rough Heston model
, 2019 Martin Forde +2 more
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Option valuation with the Heston model
, 2022 Esta tese está dividida em duas partes. A primeira parte explica os fundamentos teóricos da avaliação de opções e explica a derivação do modelo de Heston. O modelo é derivado, examinado e otimizado. Para avaliar as opções americanas também no modelo de Heston, o Método das Diferenças Finitas é aplicado no modelo de Heston.
openaire +1 more source
An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence
Xiaojuan Wu, Siqing Gan
openalex +1 more source
Significance, Fragility, and Robustness in Clinical Trials: Stratifying Statistical Evidence. [PDF]
CureusHeston TF.
europepmc +1 more source