Results 181 to 190 of about 13,841,708 (205)

Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm

Mathematics and Computers in Simulation, 2023
Farshid Mehrdoust, Abdelouahed Hamdi, Idin Noorani   +2 more
exaly  

A Statistical Test for the Heston Model

2014
We introduce a formal test to detect whether a times series of financial log-returns is consistent with the Heston stochastic volatility model as data generating process. The test is based on the auto-covariance structure of the integrated volatility, which is available in closed form for the model under investigation.
openaire   +2 more sources

Full and fast calibration of the Heston stochastic volatility model

European Journal of Operational Research, 2017
Guido Germano
exaly  

Heston Model

2011
openaire   +1 more source

Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options

Quantitative Finance, 2018
Yuri Saporito, Jean-Pierre Fouque
exaly  

Heston Model

2016
openaire   +1 more source

Heston Model

2008
openaire   +1 more source

Heston's Model and the Smile

2005
Rafał Weron, Uwe Wystup
openaire   +1 more source

Parameter estimates of Heston stochastic volatility model with MLE and consistent EKF algorithm

Science China Information Sciences, 2018
Xingkang He
exaly  

Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility

Quantitative Finance, 2005
Holger Kraft
exaly