Results 181 to 190 of about 4,224 (208)
Some of the next articles are maybe not open access.
Efficient Pricing and Reliable Calibration in the Heston Model
SSRN Electronic Journal, 2012We suggest a general scheme for improvement of FT-pricing formulas for European options and give efficient recommendations for the choice of the parameters of the numerical scheme, which allow for very accurate and fast calculations. The efficiency of the method stems from the properties of functions analytical in a strip, which were introduced to ...
openaire +3 more sources
Merton’s portfolio problem under Volterra Heston model
Finance Research Letters, 2021Bingyan Han, Hoi Ying Wong
exaly
A Statistical Test for the Heston Model
2014We 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, 2017Guido Germano
exaly
A Multifactor Stochastic Heston Model
2008We model the volatility of a single risky asset using a multifactor (matrix) Wishart affine process, recently introduced in finance by Gourieroux and Sufana. As in standard Duffie and Kan affine models the pricing problem can be solved through the Fast Fourier Transform of Carr and Madan.
DA FONSECA J +2 more
openaire +1 more source
Asymptotic formulae for implied volatility in the Heston model
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences, 2010Martin Forde +2 more
exaly