Results 51 to 60 of about 27,645 (243)
On refined volatility smile expansion in the Heston model [PDF]
, 2010 It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment $s_+$ can be obtained by solving (numerically) a simple equation.
Friz, P. +3 more
core +6 more sources
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
doaj +1 more source
On spatially irregular ordinary differential equations and a pathwise volatility modelling framework [PDF]
, 2021 This thesis develops a new framework for modelling price processes in finance, such as an equity price or foreign exchange rate. This can be related to the conventional Ito calculus-based framework through the time integral of a price's squared ...
McCrickerd, Ryan
core +2 more sources
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
doaj +1 more source
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 ...
openaire +2 more sources
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
openaire +3 more sources
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
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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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
doaj +1 more source
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
doaj +1 more source