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The Alpha‐Heston stochastic volatility model [PDF]
Mathematical Finance, 2021 AbstractWe introduce an affine extension of the Heston model, called the ‐Heston model, where the instantaneous variance process contains a jump part driven by ‐stable processes with . In this framework, we examine the implied volatility and its asymptotic behavior for both asset and VIX options.
Ying Jiao +4 more
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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 +2 more
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Parameter Estimation of the Heston Volatility Model with Jumps in the Asset Prices
Econometrics, 2023 The parametric estimation of stochastic differential equations (SDEs) has been the subject of intense studies already for several decades. The Heston model, for instance, is based on two coupled SDEs and is often used in financial mathematics for the ...
Jarosław Gruszka , Janusz Szwabiński
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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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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 +2 more
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Modeling of Tehran Stock Exchange Overall Index by Heston Stochastic Differential Equation [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2014 In this study, overall index of Tehran Stock Exchange is modeled by Heston stochastic differential equations and its performance is measured. To do this, after a brief introduction of stochastic differential equations, Heston model is explained in more ...
Abdolsadeh Neisy, Moslem Peymany
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Closed-Form Formula for the Conditional Moments of Log Prices under the Inhomogeneous Heston Model
Computation, 2022 Several financial instruments have been thoroughly calculated via the price of an underlying asset, which can be regarded as a solution of a stochastic differential equation (SDE), for example the moment swap and its exotic types that encourage investors
Kittisak Chumpong +1 more
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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 +2 more
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PERHITUNGAN VALUE AT RISK DENGAN PENDUGA VOLATILITAS STOKASTIK HESTON
E-Jurnal Matematika, 2018 Value at risk is a method that measures financial risk of an security or portfolio. The aims of the research is to find out the value at risk of an exchange rate using the Heston stochastic volatility model. Heston model is a strochastic volatility model
DESAK PUTU DEVI DAMIYANTI +2 more
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Deep learning for option pricing under Heston and Bates models [PDF]
Mathematics and Modeling in Finance, 2023 This paper proposes a new approach to pricing European options using deep learning techniques under the Heston and Bates models of random fluctuations.
Ali Bolfake +2 more
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