Results 11 to 20 of about 13,841,708 (205)

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   +6 more sources

Lifting the Heston model [PDF]

Quantitative Finance, 2019
Quantitative Finance, Taylor & Francis (Routledge), In ...
Abi Jaber, Eduardo
core   +5 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   +6 more sources

Do amyloid trajectories reach a ceiling? Evidence from iterative approximation and simulation. [PDF]

Alzheimers Dement
Abstract INTRODUCTION Qualitative models of Alzheimer's disease (AD) pathology often posit that amyloid accumulation follows a sigmoid curve, indicating that the rate of deposition wanes over time. Longitudinal positron emission tomography (PET) data now allow us to investigate amyloid accumulation trajectories with greater detail and over longer ...
Gantenberg JR, La Joie R, Heston MB, Ackley SF, Alzheimer's Disease Neuroimaging Initiative.   +4 more
europepmc   +2 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

ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL [PDF]

International Journal of Theoretical and Applied Finance, 2015
In this paper, we introduce a new form of asymptotic arbitrage, which we call a partial asymptotic arbitrage, half-way between those of Föllmer & Schachermayer (2007) [Mathematics and Financial Economics 1 (34), 213–249] and Kabanov & Kramkov (1998) [Finance and Stochastics 2, 143–172].
Jacquier, A, Haba, FH
openaire   +5 more sources

Heston-GA Hybrid Option Pricing Model Based on ResNet50

Discrete Dynamics in Nature and Society, 2022
(1) Background. This study aims to improve the accuracy of the pricing model. (2) Methods. Heston model is combined with ResNet50 convolutional neural network model. Based on the optimization of Heston model parameters by genetic algorithm (GA), ResNet50
Zheng Yang, Liqin Zhang, Xiangxing Tao, Yanting Ji   +3 more
doaj   +1 more source

A multifactor volatility Heston model [PDF]

Quantitative Finance, 2008
We 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.
J. Da Fonseca, M. Grasselli, TEBALDI, CLAUDIO   +2 more
openaire   +2 more sources

Subordinate Shares Pricing under Fractional-Jump Heston Model [PDF]

تحقیقات مالی, 2019
Objective: In this paper, while introducing Heston's model of stochastic variance, regarding the jump process and the long-term memory feature of prices, a new model for pricing subordinate shares is presented.
Omid Jenabi, Nazar Dahmardeh Ghaleno
doaj   +1 more source

ESTIMASI VOLATILITAS STOKASTIK CRYPTOCURRENCY BITCOIN MENGGUNAKAN MODEL HESTON-MILSTEIN

E-Jurnal Matematika, 2022
Volatility is a quantity that measures how far a stock or cryptocurrency price moves in a certain period. To measure volatility properly, it can be done by using volatility modeling.
NI PUTU WIDYA ISWARI DEWI, KOMANG DHARMAWAN, I WAYAN SUMARJAYA   +2 more
doaj   +1 more source