Results 51 to 60 of about 4,224 (208)
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
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On the Heston Model with Stochastic Interest Rates
SIAM Journal on Financial Mathematics, 2011 We discuss the Heston model [Rev. Financ. Stud., 6 (1993), pp. 327-343] with stochastic interest rates driven by Hull-White (HW) [J. Derivatives, 4 (1996), pp. 26-36] or Cox-Ingersoll-Ross (CIR) [Econometrica, 53 (1985), pp. 385-407] processes. Two projection techniques to derive affine approximations of the original hybrid models are presented.
L.A. Grzelak (Lech Aleksander) +1 more
openaire +3 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
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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
Wild large herbivores promote plant diversity and functional redundancy by reducing dominance
Functional Ecology, EarlyView.Read the free Plain Language Summary for this article on the Journal blog. Abstract Large herbivores can strongly shape plant communities, yet studies report contrasting effects on species richness, and how they affect plant functional diversity remains largely unknown.
Jonas Trepel +7 more
wiley +1 more source
, 2020 LAUREA MAGISTRALEÉ chiaro dai dati dei mercati ad alta frequenza che il logaritmo della volatilità si comporta essenzialmente come un moto Browniano frazionario. Perciò, per riprodurre il comportamento della volatilità storica e implicita, sono stati
MOLINARI, SIMONE
core
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
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A Simple Framework for the Stochastic Volatility Uncertainty [PDF]
Sahand Communications in Mathematical AnalysisThis paper presents an uncertainty framework, in which the volatility process exists within a random interval defined by bounds modeled by a Cox-Ingersoll-Ross (CIR) process. We analyzed the worst-case and best-case scenario prices of a simple contingent
Neda Esmaeeli
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Specification Tests for Jump‐Diffusion Models Based on the Characteristic Function
International Statistical Review, EarlyView.Summary Goodness‐of‐fit tests are suggested for several popular jump‐diffusion processes. The suggested test statistics utilise the marginal characteristic function of the model and its L2‐type discrepancy from an empirical counterpart. Model parameters are estimated either by minimising the aforementioned L2‐type discrepancy or by maximum likelihood ...
Gerrit Lodewicus Grobler +3 more
wiley +1 more source
Option Pricing Under Rough Heston Model With Jumps
, 2022 The rough Heston model with jumps is proposed and studied in the thesis which is inspired by some well-known models, including the Heston model, rough Heston model, and Kou's jump model.
Jin, Yazhao
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