Results 41 to 50 of about 4,224 (208)
Systems Science & Control Engineering, 2023 In this paper, we investigate an optimal investment strategy for defined-contribution (DC) pension plan under hybrid stochastic volatility (Heston–Hull–White) model, taking account of the inflation risk and the stochastic salary.
Yanyu Shao, Dengfeng Xia, Weiyin Fei
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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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The Large Maturity Smile for the Heston Model [PDF]
SSRN Electronic Journal, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Martin Forde, Antoine Jacquier
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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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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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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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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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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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Feedback Optimal Controllers for the Heston Model [PDF]
Applied Mathematics & Optimization, 2018 We prove the existence of an optimal feedback controller for a stochastic optimization problem constituted by a variation of the Heston model, where a stochastic input process is added in order to minimize a given performance criterion. The stochastic feedback controller is searched by solving a nonlinear backward parabolic equation for which one ...
luca di persio +2 more
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On the Discrete-Time Simulation of the Rough Heston Model
SIAM Journal on Financial Mathematics, 2023 We study Euler-type discrete-time schemes for the rough Heston model, which can be described by a stochastic Volterra equation (with non-Lipschtiz coefficient functions), or by an equivalent integrated variance formulation. Using weak convergence techniques, we prove that the limits of the discrete-time schemes are solution to some modified Volterra ...
Alexandre Richard, Xiaolu Tan, Fan Yang
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