Results 51 to 60 of about 2,164 (216)
Semi-Analytical Option Pricing Under Double Heston Jump-Diffusion Hybrid Model
Journal of Mathematical Sciences and Modelling, 2018 We examine European call options in the jump-diffusion version of the Double Heston stochastic volatility model for the underlying price process to provide a more flexible model for the term structure of volatility.
Rehez Ahlip +2 more
doaj +1 more source
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
openaire +4 more sources
American Options in the Volterra Heston Model
SIAM Journal on Financial Mathematics, 2022 38 pages, 1 table, 8 figures.
Chevalier, Etienne +2 more
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Time-dependent Heston model [PDF]
, 2014 This work presents an exact solution to the generalized Heston model, where the model parameters are assumed to have linear time dependence The solution for the model in expressed in terms of confluent hypergeometric functions.
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Inconsistency of the Capital Asset Pricing Model in a Multi‐Currency Environment
International Journal of Finance &Economics, EarlyView.ABSTRACT The capital asset pricing model (CAPM) is a widely adopted model in asset pricing theory and portfolio construction because of its intuitive nature. One of its main conclusions is that there exists a global market portfolio that each rational investor should hold in proportion to the risk‐free asset. In this paper, we demonstrate theoretically
Khalifa Al‐Thani +4 more
wiley +1 more source
Pricing of a Binary Option Under a Mixed Exponential Jump Diffusion Model
MathematicsThis paper focuses on the pricing problem of binary options under stochastic interest rates, stochastic volatility, and a mixed exponential jump diffusion model.
Yichen Lu, Ruili Song
doaj +1 more source
Business Ethics, the Environment &Responsibility, EarlyView.ABSTRACT This study examines the relationship between ESG news sentiment and corporate performance through the lens of stakeholder theory. While ESG ratings face significant limitations, including measurement inconsistencies and time lags, news sentiment analysis offers insights into internal and external stakeholder responses to ESG activities.
Jeong‐Ji Han +2 more
wiley +1 more source
Pricing the Financial Heston Model Using Parallel Finite Difference Method on GPU CUDA
International Journal of Applied Sciences and Smart Technologies, 2020 An option is a financial instrument in which two parties agree to exchange assets at a price or strike and the date or maturity is predetermined. Options can provide investors with information to set strategies so they can increase profits and reduce ...
Pranowo - Pranowo
doaj +1 more source
Closed‐Form Optimal Investment Under Generalized GARCH Models
European Financial Management, EarlyView.ABSTRACT This paper introduces a new class of stochastic volatility models for asset prices, the generalized Heston Nandi GARCH (GHN‐GARCH), with the primary objective of optimal dynamic asset allocation under expected utility theory for constant relative risk aversion investors. We study some of its theoretical properties, and demonstrate that the GHN‐
Marcos Escobar‐Anel +2 more
wiley +1 more source
Skew Premiums Around Earnings Announcements
Financial Review, EarlyView.ABSTRACT We examine skew premiums in equity options around earnings announcements. We use the realized returns to delta‐neutral risk reversal option spreads as a proxy for the skew premiums. We find skew premiums are economically significant around earnings announcements and are not explained by changes in variance risk premiums.
Thaddeus Neururer, George Papadakis
wiley +1 more source