Results 231 to 240 of about 1,024,611 (253)

Markovian projection onto a Heston model [PDF]

The Journal of Computational Finance, 2007
We develop a systematic approach to the reduction of dimensionality of smile-enabled models by projecting them onto a displaced version of the two-dimensional Heston process. The projection is the key for deriving efficient, analytical approximations to European option prices in such models.
Vladimir Piterbarg, Timur Misirpashaev, Alexandre Antonov   +2 more
openaire   +2 more sources

Efficient Simulation of the Double Heston Model [PDF]

SSRN Electronic Journal, 2010
Stochastic volatility models have replaced Black-Scholes model since they are able to generate a volatility smile. However, standard models fail to capture the smile slope and level movements. The Double-Heston model provides a more flexible approach to model the stochastic variance.
Gauthier, Pierre, Possamaï, Dylan
openaire   +2 more sources

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Estimating a Local Heston Model

SSRN Electronic Journal, 2018
We develop a new approach to modeling the volatility of stock prices that overcomes well-known problems with using realized volatility as a proxy for integrated volatility. Using high-frequency data for SPY, an exchange-traded fund that tracks the S&P 500, we estimate the parameters of a structural model of stochastic volatility for every trading day ...
Duke Whang, Miao Sun, Sibo Yan, Bryan Ellickson   +3 more
openaire   +2 more sources

ON THE HESTON MODEL WITH STOCHASTIC CORRELATION

International Journal of Theoretical and Applied Finance, 2016
The degree of relationship between financial products and financial institutions, e.g. must be considered for pricing and hedging. Usually, for financial products modeled with the specification of a system of stochastic differential equations, the relationship is represented by correlated Brownian motions (BMs).
Matthias Ehrhardt, Michael Günther, Long Teng   +2 more
openaire   +2 more sources

A Statistical Test for the Heston Model

2014
We introduce a formal test to detect whether a times series of financial log-returns is consistent with the Heston stochastic volatility model as data generating process. The test is based on the auto-covariance structure of the integrated volatility, which is available in closed form for the model under investigation.
openaire   +3 more sources

Malliavin differentiability of the Heston volatility and applications to option pricing

Advances in Applied Probability, 2008
Elisa Alòs
exaly   +2 more sources

Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching

IMA Journal of Management Mathematics, 2022
Xin-jiang He, Wenting Chen
exaly  

Heston's Model and the Smile

2005
Rafał Weron, Uwe Wystup
openaire   +2 more sources

The characteristic function of rough Heston models

Mathematical Finance, 2019
Mathieu Rosenbaum
exaly  

A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL

ANZIAM Journal, 2019
Sha Lin, Xin-jiang He
exaly