Results 241 to 250 of about 1,024,611 (253)

On refined volatility smile expansion in the Heston model

Quantitative Finance, 2011
Stefan Gerhold, Stephan Sturm, Toshiaki Yoshioka   +2 more
exaly  

Underlying dynamics of typical fluctuations of an emerging market price index: The Heston model from minutes to months

Physica A: Statistical Mechanics and Its Applications, 2006
Renato Vicente, Nestor Caticha
exaly  

Full and fast calibration of the Heston stochastic volatility model

European Journal of Operational Research, 2017
Guido Germano
exaly  

MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION

Mathematical Finance, 2008
Aleš ČErn
exaly  

Simulating from the Heston model: A gamma approximation scheme

Monte Carlo Methods and Applications, 2015
Jean-françois Bégin
exaly  

THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL

Mathematical Finance, 2017
Martino Grasselli
exaly  

COMPLEX LOGARITHMS IN HESTON-LIKE MODELS

Mathematical Finance, 2010
exaly  

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

Science China Information Sciences, 2018
Kate Keenan, Xingkang He, Yanlong Zhao
exaly  

An explicitly solvable Heston model with stochastic interest rate

European Journal of Operational Research, 2016
exaly  

Implied Volatility Formulas for Heston Models

Wilmott Magazine, 2018
exaly