Results 11 to 20 of about 4,224 (208)

Time Dependent Heston Model [PDF]

SIAM Journal on Financial Mathematics, 2009
The use of the Heston model is still challenging because it has a closed formula only when the parameters are constant [Hes93] or piecewise constant [MN03]. Hence, using a small volatility of volatility expansion and Malliavin calculus techniques, we derive an accurate analytical formula for the price of vanilla options for any time dependent Heston ...
Benhamou, Eric, Gobet, Emmanuel, Miri, Mohammed   +2 more
openaire   +4 more sources

FX smile in the Heston model [PDF]

, 2011
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 easily implemented semi-analytical solution for European options.
Janek, Agnieszka, Kluge, Tino, Weron, Rafal, Wystup, Uwe   +3 more
openaire   +8 more sources

The Randomised Heston Model [PDF]

SSRN Electronic Journal, 2016
We propose a randomised version of the Heston model-a widely used stochastic volatility model in mathematical finance-assuming that the starting point of the variance process is a random variable. In such a system, we study the small-and large-time behaviours of the implied volatility, and show that the proposed randomisation generates a short-maturity
Antoine Jacquier, Fangwei Shi
openaire   +5 more sources

Lifting the Heston model [PDF]

Quantitative Finance, 2019
Quantitative Finance, Taylor & Francis (Routledge), In ...
Abi Jaber, Eduardo
openaire   +3 more sources

Numerical Simulation of the Heston Model under Stochastic Correlation

International Journal of Financial Studies, 2017
Stochastic correlation models have become increasingly important in financial markets. In order to be able to price vanilla options in stochastic volatility and correlation models, in this work, we study the extension of the Heston model by imposing ...
Long Teng, Matthias Ehrhardt, Michael Günther   +2 more
doaj   +2 more sources

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, О.Є. Путятіна, М.В. Гарячий   +2 more
doaj   +3 more sources

Option valuation with the Heston model [PDF]

, 2022
Esta tese está dividida em duas partes. A primeira parte explica os fundamentos teóricos da avaliação de opções e explica a derivação do modelo de Heston. O modelo é derivado, examinado e otimizado. Para avaliar as opções americanas também no modelo de Heston, o Método das Diferenças Finitas é aplicado no modelo de Heston.
Ehlert, Yannik
core   +3 more sources

Differences in amyloid PET positivity based on ethnoracial group and social determinants of health: The new IDEAS study. [PDF]

Alzheimers Dement
Abstract INTRODUCTION This study leverages a large, diverse cohort to characterize ethnoracial differences in amyloid positron emission tomography (PET) positivity and identify social determinants of health (SDOHs) contributing to these differences. METHODS We assessed differences in amyloid PET positivity by ethnoracial group (Black, Latinx, or all ...
Bolton CJ, Dilworth-Anderson P, Steingrimsson J, Thangarajah M, Hanna L, Gatsonis C, Windon C, Carrillo MC, Glavin E, Gareen I, Heston MB, Hillner BE, March A, Rissman RA, Siegel BA, Smith K, Whitmer RA, Weber CJ, Rabinovici GD, Wilkins CH.   +19 more
europepmc   +2 more sources

Sociodemographic and Clinical Factors Impact Non-Live Vaccine Coverage After Pediatric Solid Organ Transplantation: A Single Center Study. [PDF]

Pediatr Transplant
This single‐center retrospective study of pediatric solid organ transplant recipients found that vaccine‐specific serologies were rarely utilized to guide post‐transplant vaccination practices. Additionally, older age at the time of transplant, private insurance, and heart transplantation were identified as risk factors for delayed and incomplete non ...
Blatt AZ, Wang Y, Chang YC, Heston SM.
europepmc   +2 more sources

Association of residential neighborhood disadvantage with amyloid PET positivity among cognitively impaired individuals. [PDF]

Alzheimers Dement Behav Socioecon Aging
Abstract INTRODUCTION Relationships between Alzheimer's disease neuropathology, residential neighborhood, and cognitive impairment remain incompletely understood. METHODS We examined whether residence within a disadvantaged neighborhood was associated with amyloid positron emission tomography (PET) positivity.
Windon CC, Tsoy E, Livaudais-Toman J, Neilands TB, Palmer NR, Heston MB, Johnson JK, Hanna L, Gatsonis C, Romanoff J, Steingrimsson J, Carrillo MC, Dilworth-Anderson P, Hillner BE, Siegel BA, Whitmer RA, Wilkins CH, Smith K, Blazhenets G, La Joie R, Miller BL, Possin KL, Rabinovici GD.   +22 more
europepmc   +2 more sources