Results 51 to 60 of about 1,024,611 (253)

Numerical Simulation of the Heston Model under Stochastic Correlation

International Journal of Financial Studies, 2017
Stochastic correlation models have become increasingly important in financial markets. In order to be able to price vanilla options in stochastic volatility and correlation models, in this work, we study the extension of the Heston model by imposing ...
Long Teng, Matthias Ehrhardt, Michael Günther   +2 more
doaj   +1 more source

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, Donny Citra Lesmana, Retno Budiarti   +2 more
doaj   +1 more source

Optimal investment strategy for DC pension plan with inflation risk under the hybrid stochastic volatility model

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
doaj   +1 more source

Can the Heston Model Forecast Energy Generation? A Systematic Literature Review

International Journal of Energy Economics and Policy, 2022
The ability to predict the price of stock exchange assets has attracted the attention of economists and physicists around the world, as physical models are useful to predict volatility behaviors.
Bianca Reichert, Adriano Mendonça Souza
doaj   +1 more source

Volatility spillover in crude oil market using Heston switching Clayton model [PDF]

Mathematics and Modeling in Finance, 2023
The purpose of this study is to investigate the effects and risk spillover from the global crude oil market on Tehran Stock Exchange Oil Group. For this purpose, we used a combination of copula models and switching models in this research. First, we will
Soheil Salimi Nasab, Gholam Hosein Golarzi, Abdolsadeh Neisy   +2 more
doaj   +1 more source

Unbiased estimators for the Heston model with stochastic interest rates [PDF]

arXiv, 2023
We combine the unbiased estimators in Rhee and Glynn (Operations Research: 63(5), 1026-1043, 2015) and the Heston model with stochastic interest rates. Specifically, we first develop a semi-exact log-Euler scheme for the Heston model with stochastic interest rates.
arxiv  

Distance to the line in the Heston model [PDF]

Journal of Mathematical Analysis and Applications, 2017
The main object of study in the paper is the distance from a point to a line in the Riemannian manifold associated with the Heston model. We reduce the problem of computing such a distance to certain minimization problems for functions of one variable over finite intervals.
openaire   +3 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   +4 more sources

On the numerical performance of the weak multilevel Monte-Carlo method for the Heston Model [PDF]

Mathematics and Modeling in Finance
In 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