Results 191 to 200 of about 4,224 (208)

Parameter estimates of Heston stochastic volatility model with MLE and consistent EKF algorithm

Science China Information Sciences, 2018
Ximei Wang, Xingkang He, Yanlong Zhao
exaly  

Heston Model

2011
openaire   +1 more source

Heston's Model and the Smile

2005
Rafał Weron, Uwe Wystup
openaire   +1 more source

Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation

Quantitative Finance, 2013
Justin W L Wan
exaly  

An alternative form used to calibrate the Heston option pricing model

Computers and Mathematics With Applications, 2016
Xin-Jiang He, Song-Ping Zhu
exaly  

A fractional Heston model with

Stochastics, 2017
Elisa Aloš
exaly  

Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options

Quantitative Finance, 2018
Jean-Pierre Fouque, Yuri F Saporito
exaly  

Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model

SIAM Journal on Financial Mathematics, 2010
Martin Forde, Jean-Pierre Fouque
exaly  

Numerical Simulation of the Heston Model under Stochastic Correlation

International Journal of Financial Studies, 2018
Long Teng, Matthias Ehrhardt, Michael GÜNTHER   +2 more
exaly  

A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model

Applied Mathematical Finance, 2007
Jia-Hau Guo, Mao-Wei Hung
exaly