Results 151 to 160 of about 1,024,611 (253)

Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations [PDF]

, 2015
Mátyás Barczy, Gyula Pap
openalex   +1 more source

APPROXIMATING EXPECTED VALUE OF AN OPTION WITH NON-LIPSCHITZ PAYOFF IN FRACTIONAL HESTON-TYPE MODEL [PDF]

, 2020
Yuliya Mishura, Anton Yurchenko-Tytarenko   +1 more
openalex   +1 more source

A Space Mapping approach for the calibration of financial models with the application to the Heston model [PDF]

arXiv
We present a novel approach for parameter calibration of the Heston model for pricing an Asian put option, namely space mapping. Since few parameters of the Heston model can be directly extracted from real market data, calibration to real market data is implicit and therefore a challenging task.
arxiv  

Statistical Significance Versus Clinical Relevance: A Head-to-Head Comparison of the Fragility Index and Relative Risk Index. [PDF]

Cureus, 2023
Heston TF.
europepmc   +1 more source

FX Smile in the Heston Model [PDF]

The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is nonnegative and mean-reverting, which is what we observe in the markets.
Agnieszka Janek, Rafal Weron, Tino Kluge, Uwe Wystup   +3 more
core  

Local asymptotic quadraticity of statistical experiments connected with a Heston model [PDF]

, 2017
János Marcell Benke, Gyula Pap
openalex   +1 more source

Stability estimates for Discrete duality finite volume scheme of Heston model [PDF]

, 2017
Angela Handlovičová
openalex   +1 more source

Calibrating the Heston model with deep differential networks [PDF]

arXiv
We propose a gradient-based deep learning framework to calibrate the Heston option pricing model (Heston, 1993). Our neural network, henceforth deep differential network (DDN), learns both the Heston pricing formula for plain-vanilla options and the partial derivatives with respect to the model parameters.
arxiv  

ADI finite difference schemes for option pricing in the Heston model with correlation

, 2008
Karel in ’t Hout, S. Foulon
openalex   +2 more sources

A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model [PDF]

, 2018
Edouard Berthe, Duy‐Minh Dang, Luis Ortiz-Gracia   +2 more
openalex   +1 more source