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ON THE HESTON MODEL WITH STOCHASTIC CORRELATION
International Journal of Theoretical and Applied Finance, 2016The degree of relationship between financial products and financial institutions, e.g. must be considered for pricing and hedging. Usually, for financial products modeled with the specification of a system of stochastic differential equations, the relationship is represented by correlated Brownian motions (BMs).
Teng, Long +2 more
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2017
In this chapter we introduce the subject of volatility modelling. Some issues have already been tackled in Kienitz (2014). We start with a short general introduction.
Jörg Kienitz, Peter Caspers
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In this chapter we introduce the subject of volatility modelling. Some issues have already been tackled in Kienitz (2014). We start with a short general introduction.
Jörg Kienitz, Peter Caspers
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Heston Model: The Variance Swap Calibration
SSRN Electronic Journal, 2013This paper proposes an alternative methodology to derive starting values for parameters of the Heston model. The term structure of variance swap prices is inferred from the option price surface by means of the spanning option payoff formula given by \textit{D. T. Breeden} and \textit{R. H.
Florence Guillaume, Wim Schoutens
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On the Infeasability of the Heston Model
SSRN Electronic Journal, 2020Heston (1993) is among the progenitors in the literature regarding option pricing under stochastic volatility. This paper seeks to show that, under his own assumptions, Heston's results are less general than previously believed.
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A fractional Heston model with
Stochastics, 2016We present a modification of the classical Heston model, where the volatility process is defined by means of a fractional integration of a diffusion process. Our construction allows us to easily compute a martingale representation for the volatility process.
Elisa Alòs, Yan Yang
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Bayesian inference for Heston-STAR models
Statistics and Computing, 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Osnat Stramer +2 more
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On Singularities in the Heston Model
SSRN Electronic Journal, 2007In this note we provide characterization of the singularities of the Heston characteristic function. In particular, we show that all the singularities are pure imaginary.
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Complex Logarithms in Heston-Like Models
SSRN Electronic Journal, 2008Summary: The characteristic functions of many affine jump-diffusion models, such as Heston's stochastic volatility model and all of its extensions, involve multivalued functions such as the complex logarithm. If we restrict the logarithm to its principal branch, as is done in most software packages, the characteristic function can become discontinuous,
Lord, Roger, Kahl, Christian
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Markovian projection onto a Heston model
The Journal of Computational Finance, 2007We develop a systematic approach to the reduction of dimensionality of smile-enabled models by projecting them onto a displaced version of the two-dimensional Heston process. The projection is the key for deriving efficient, analytical approximations to European option prices in such models.
Alexandre Antonov +2 more
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Calibrating the Heston Model with Differential Evolution
2010Calibrating option pricing models to market prices often leads to optimisation problems to which standard methods (like such based on gradients) cannot be applied. We investigate one particular example, Heston's stochastic volatility model. We discuss how to price options under this model, and how to calibrate the parameters of the model with a ...
Manfred Gilli, Enrico Schumann
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