Results 11 to 20 of about 2,164 (216)

Lifting the Heston model [PDF]

Quantitative Finance, 2019
Quantitative Finance, Taylor & Francis (Routledge), In ...
Eduardo Abi Jaber
openalex   +4 more sources

Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance [PDF]

Comput Appl Math, 2022
Yoon Y, Seo J, Kim J.
europepmc   +3 more sources

European option pricing under the approximate fractional Heston jump–diffusion model with a stochastic long-term mean

Alexandria Engineering Journal
To address the limitations of the traditional Heston model, which fails to capture asset price jumps, long-range dependence, and the term structure of implied volatility and variance swap curves, this study proposes an enhanced approximate fractional ...
Yubing Wang, Yanan Bai
doaj   +2 more sources

Calibration and simulation of Heston model

Open Mathematics, 2017
We calibrate Heston stochastic volatility model to real market data using several optimization techniques. We compare both global and local optimizers for different weights showing remarkable differences even for data (DAX options) from two consecutive ...
Mrázek Milan, Pospíšil Jan
doaj   +3 more sources

Comparison of Option Pricing with Stochastic Volatility in Heston and Heston Nandi Model [PDF]

تحقیقات مالی, 2023
Objective The significance of the capital market in driving the economic growth and development of a country necessitates a thorough examination of this market from multiple perspectives.
Mohammad Reza Haddadi, Hossein Nasrollahi   +1 more
doaj   +1 more source

Evaluating the Presence of a Physiologic Ceiling in Amyloid Trajectories: Insights from the Sampled Iterative Local Approximation (SILA) Algorithm and Simulations [PDF]

Alzheimers Dement
Abstract Background With continued collection of amyloid positron emission tomography (PET) neuroimaging and new quantitative approaches to analyze longitudinal PET data, the Alzheimer's disease (AD) research field is now positioned to determine amyloid trajectories empirically. Previous studies proposing a physiologic ceiling generally do not evaluate
Ackley S, Gantenberg J, Heston M, Joie R.   +3 more
europepmc   +4 more sources

The Alpha‐Heston stochastic volatility model [PDF]

Mathematical Finance, 2021
AbstractWe introduce an affine extension of the Heston model, called the ‐Heston model, where the instantaneous variance process contains a jump part driven by ‐stable processes with . In this framework, we examine the implied volatility and its asymptotic behavior for both asset and VIX options.
Ying Jiao, Chunhua Ma, Simone Scotti, Chao Zhou   +3 more
openaire   +3 more sources

Fecal short-chain fatty acids vary by sex and amyloid status. [PDF]

Alzheimers Dement
Abstract INTRODUCTION Short‐chain fatty acids (SCFAs), produced by gut microbes, influence Alzheimer's disease (AD) pathology in animals. Less is known about SCFAs and AD in humans. We profiled feces of adults along the AD continuum to investigate gut microbiome and SCFA associations with AD pathology and cognition.
Kuehn JF, Zhang Q, Heston MB, Kang JW, Harding SJ, Davenport-Sis NJ, Peter DC, Kerby RL, Vemuganti V, Schiffmann EC, Tallon MM, Harpt J, Hajra A, Wheeler JL, Shankar S, Mickol A, Zemberi J, Chow H, Zhang E, Clements E, Noughani H, Forst A, Everitt G, Kollmorgen G, Quijano-Rubio C, Christian BT, Carlsson CM, Johnson SC, Asthana S, Zetterberg H, Blennow K, Ulland TK, Rey FE, Bendlin BB.   +33 more
europepmc   +2 more sources

The Heston Model with Time-Dependent Correlation Driven by Isospectral Flows

Mathematics, 2021
In this work, we extend the Heston stochastic volatility model by including a time-dependent correlation that is driven by isospectral flows instead of a constant correlation, being motivated by the fact that the correlation between, e.g., financial ...
Long Teng
doaj   +1 more source

SPX Calibration of Option Approximations under Rough Heston Model

Mathematics, 2021
The volatility of stock return does not follow the classical Brownian motion, but instead it follows a form that is closely related to fractional Brownian motion.
Siow Woon Jeng, Adem Kiliçman
doaj   +1 more source