Results 41 to 50 of about 13,841,708 (205)
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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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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Parameter estimation of a bivariate diffusion process : the Heston model [PDF]
, 2011 Includes abstract.Includes bibliographical references (leaves 27-29).The main objective of the research is to estimate the parameters on the Heston (1993) model, which models the movement of asset prices assuming that the asset price volatility is ...
Nomoyi, Siyabulela
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Option valuation with the Heston model [PDF]
, 2022 This thesis is divided into two parts. The first part explains the theoretical background of option valuation and guides through the actual derivation of the Heston Model. The model is explained, examined and optimized. To value American options in the
Ehlert, Yannik
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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
doaj +1 more source
Algorithmic complexity in the heston model [PDF]
Proceedings of the fourth workshop on High performance computational finance, 2011 In this paper, we present an in-depth investigation of the algorithmic parameter influence for barrier option pricing with the Heston model. For that purpose we focus on single- and multi-level Monte Carlo simulation methods. We investigate the impact of algorithmic variations on simulation time and energy consumption, giving detailed measurement ...
Henning Marxen +6 more
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Volatility derivatives in the Heston framework [PDF]
, 2014 Includes bibliographical references.A volatility derivative is a financial contract where the payoff depends on the realized variance of a specified asset's returns.
Kriel, Hiltje
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A note on essential smoothness in the Heston model [PDF]
Finance and Stochastics, 2011 5 pages; a version of this note is to appear in Finance & ...
Martin Forde +2 more
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Enhancing Preclinical Rigor: Evaluating Robustness and Numerical Stability in a Chronic Pancreatitis Mouse Model. [PDF]
Ann N Y Acad SciIn a modified cerulein‐induced chronic pancreatitis (CP) mouse model, key hallmarks of CP were robustly induced in male and female C57BL/6J (BL6) and BALB/c mice, whereas cytokine responses varied partly according to strain and sex. The RORγt inhibitor GSK805 reduced Il23r expression in the BL6 strain, significantly decreased collagen I deposition and ...
Thämlitz A +5 more
europepmc +2 more sources
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
openaire +3 more sources