Results 11 to 20 of about 1,024,611 (253)
Uncertainty quantification and Heston model [PDF]
Journal of Mathematics in Industry, 2018 In this paper, we study the impact of the parameters involved in Heston model by means of Uncertainty Quantification. The Stochastic Collocation Method already used for example in computational fluid dynamics, has been applied throughout this work in ...
María Suárez-Taboada +3 more
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Asymptotic expansion for characteristic function in Heston stochastic volatility model with fast mean-reverting correction [PDF]
arXiv, 2013 In this note, we derive the characteristic function expansion for logarithm of the underlying asset price in corrected Heston model as proposed by Fouque and Lorig.
Ankush Agarwal
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Convergence of Heston to SVI [PDF]
arXiv, 2010 In this short note, we prove by an appropriate change of variables that the SVI implied volatility parameterization presented in Gatheral's book and the large-time asymptotic of the Heston implied volatility agree algebraically, thus confirming a ...
Gatheral, Jim, Jacquier, Antoine
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FX Smile in the Heston Model [PDF]
, 2010 The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is non-negative and mean-reverting, which is what we observe in the markets. Secondly, there exists a fast and
Janek, Agnieszka +3 more
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An extension of Heston's SV model to Stochastic Interest Rates [PDF]
Journal of Computational and Applied Mathematics Volume 354, July
2019, Pages 174-182, 2018 In 'A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options', Heston proposes a Stochastic Volatility (SV) model with constant interest rate and derives a semi-explicit valuation formula.
de Frutos, Javier, Gaton, Victor
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The Heston Riemannian distance function [PDF]
arXiv, 2013 The Heston model is a popular stock price model with stochastic volatility that has found numerous applications in practice. In the present paper, we study the Riemannian distance function associated with the Heston model and obtain explicit formulas for
Gulisashvili, Archil, Laurence, Peter
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Moment explosions in the rough Heston model [PDF]
Decisions in Economics and Finance, 2019 AbstractWe show that the moment explosion time in the rough Heston model, introduced by El Euch and Rosenbaum in 2016, is finite if and only if it is finite for the classical Heston model. Upper and lower bounds for the explosion time are established, as well as an algorithm to compute the explosion time (under some restrictions).
Stefan Gerhold +2 more
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Semi-Analytical Option Pricing Under Double Heston Jump-Diffusion Hybrid Model
Journal of Mathematical Sciences and Modelling, 2018 We examine European call options in the jump-diffusion version of the Double Heston stochastic volatility model for the underlying price process to provide a more flexible model for the term structure of volatility.
Rehez Ahlip +2 more
doaj +2 more sources
Perfect hedging in rough Heston models [PDF]
Annals of Applied Probability, 2018 Rough volatility models are known to reproduce the behavior of historical volatility data while at the same time fitting the volatility surface remarkably well, with very few parameters. However, managing the risks of derivatives under rough volatility can be intricate since the dynamics involve fractional Brownian motion.
Mathieu Rosenbaum
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Filtration of parameters of the Heston model
Системи обробки інформації, 2020 In this article we consider the Heston model of the stock price behaviour. While the volatility of the model is the non-linear function of another stochastic unobservable function, that is why we consider linearizing all non-linear functions of the model.
О.А. Кобилін +2 more
doaj +3 more sources