Results 181 to 190 of about 1,024,611 (253)

A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston–Cox–Ingersoll–Ross model

, 2016
Andrei Cozma, Christoph Reisinger
openalex   +2 more sources

Mixed fractional Heston model and the pricing of American options

, 2017
Farshid Mehrdoust, Ali Reza Najafi, Somayeh Fallah, Oldouz Samimi   +3 more
openalex   +1 more source

Convergence analysis of the discrete duality finite volume scheme for the regularised Heston model

, 2020
Matúš Tibenský, Angela Handlovičová
openalex   +2 more sources

A Simulation of the Heston Model with Stochastic Volatility Using the Finite Difference Method

, 2020
Vu Thi Thu Giang, Nguyen Huu Hai, Nguyen Thuy Hang, Nguyễn Văn Hạnh, Nguyen Thi Huyen   +4 more
openalex   +2 more sources

Deep calibration of the quadratic rough Heston model [PDF]

, 2021
Mathieu Rosenbaum, Jianfei Zhang
openalex  

Change of measure in a Heston-Hawkes stochastic volatility model

, 2022
David Baños, Salvador Ortiz-Latorre, Oriol Zamora Font   +2 more
openalex   +2 more sources

Analytic solutions of variance swaps for Heston models with stochastic long-run mean of variance and jumps. [PDF]

PLoS One
Fu J.
europepmc   +1 more source

Key Technique of Almost Exact Simulation for Non-affine Heston Model

, 2020
Xingyin Liang, Youfa Sun, Yuhang Yao
openalex   +1 more source

Performance of the Delta-Hedging Strategies Based on the Heston Model and the Black Scholes Model on Meta Platforms

, 2022
Yehong Li
openalex   +1 more source

From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect

, 2019
Aditi Dandapani, Paul Jusselin, Mathieu Rosenbaum   +2 more
openalex   +2 more sources