Results 41 to 50 of about 2,164 (216)
Penentuan Harga Opsi Dengan Volatilitas Stokastik Menggunakan Metode Monte Carlo
Jambura Journal of Mathematics, 2021 ABSTRAK Hal yang utama dalam perdagangan opsi adalah penentuan harga jual opsi yang optimal. Namun pada kenyataan sebenarnya fluktuasi harga aset yang terjadi di pasar menandakan bahwa volatilitas dari harga aset tidaklah konstan, hal ini menyebabkan ...
Chalimatusadiah Chalimatusadiah +2 more
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Optimal dynamic mean-variance asset-liability management under the Heston model
Advances in Difference Equations, 2018 This paper studies a continuous-time mean-variance asset-liability management problem under the Heston model. Specifically, an asset-liability manager is allowed to invest in a risk-free asset and a risky asset whose price process is governed by the ...
Jian Pan, Zujin Zhang, Xiangying Zhou
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MONOTONICITY OF PRICES IN HESTON MODEL [PDF]
International Journal of Theoretical and Applied Finance, 2013 In this article, we study the price monotonicity in the parameters of the Heston model for a contract with a convex pay-off function; in particular we consider European put options. We show that the price is increasing in the constant term in the drift of the variance process and decreasing in the coefficient of the linear term in the drift of ...
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SSRN Electronic Journal, 2021 This paper introduces the exponentially weighted moving average (EWMA) Heston model, a Markovian stochastic volatility model able to capture a wide range of empirical features related to volatility dynamics while being more tractable for simulations than rough volatility models based on fractional processes. After presenting the model and its principal
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Volatility spillover in crude oil market using Heston switching Clayton model [PDF]
Mathematics and Modeling in Finance, 2023 The purpose of this study is to investigate the effects and risk spillover from the global crude oil market on Tehran Stock Exchange Oil Group. For this purpose, we used a combination of copula models and switching models in this research. First, we will
Soheil Salimi Nasab +2 more
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On the numerical performance of the weak multilevel Monte-Carlo method for the Heston Model [PDF]
Mathematics and Modeling in FinanceIn this article, we discuss the numerical implementation of the Multilevel Monte-Carlo (MLMC) scheme for option pricing within the Heston asset model. The Heston model is a stochastic volatility model that captures the dynamics of the underlying asset ...
Azadeh Ghasemifard, Ali Valinejad
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Moment explosions in the rough Heston model [PDF]
Decisions in Economics and Finance, 2019 AbstractWe show that the moment explosion time in the rough Heston model, introduced by El Euch and Rosenbaum in 2016, is finite if and only if it is finite for the classical Heston model. Upper and lower bounds for the explosion time are established, as well as an algorithm to compute the explosion time (under some restrictions).
Stefan Gerhold +2 more
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The Rough Hawkes Heston Stochastic Volatility Model
SSRN Electronic Journal, 2022 AbstractWe study an extension of the Heston stochastic volatility model that incorporates rough volatility and jump clustering phenomena. In our model, named the rough Hawkes Heston stochastic volatility model, the spot variance is a rough Hawkes‐type process proportional to the intensity process of the jump component appearing in the dynamics of the ...
Alessandro Bondi +2 more
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The Weak Convergence Rate of Two Semi-Exact Discretization Schemes for the Heston Model
Risks, 2021 Inspired by the article Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model, Chao Zheng, SIAM Journal on Numerical Analysis 2017, 55:3, 1243–1263, we studied the weak error of discretization schemes for the Heston ...
Annalena Mickel, Andreas Neuenkirch
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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 +3 more
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