Results 51 to 60 of about 13,841,708 (205)

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
openaire   +2 more sources

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

A hybrid approach for the implementation of the Heston model [PDF]

IMA Journal of Management Mathematics, 2015
We propose a hybrid tree-finite difference method in order to approximate the Heston model. We prove the convergence by embedding the procedure in a bivariate Markov chain and we study the convergence of European and American option prices. We finally provide numerical experiments that give accurate option prices in the Heston model, showing the ...
Briani M, Caramellino L, ZANETTE, Antonino   +2 more
openaire   +4 more sources

The Lifted Heston Stochastic Volatility Model [PDF]

, 2021
Can we capture the explosive nature of volatility skew observed in the market, without resorting to non-Markovian models? We show that, in terms of skew, the Heston model cannot match the market at both long and short maturities simultaneously.
Broodryk, Ryan
core   +1 more source

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, Laurence A. F. Park, Ante Prodan   +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, benazzoli chiara, Barbu, Viorel   +2 more
openaire   +4 more sources

Pricing of a Binary Option Under a Mixed Exponential Jump Diffusion Model

Mathematics
This 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

Measuring Bubbles via Put‐Call Disparity: A Model‐Free Approach

Financial Management, EarlyView.
ABSTRACT This paper uses violations of put‐call parity to provide simple lower and upper bounds for measuring the size of asset price bubbles. Assuming only no‐arbitrage, this bubble detection approach avoids restrictive parametric model assumptions. We show that put‐call disparity provides a bubble's lower bound, and the lowest price of an out‐of‐the ...
Robert A. Jarrow, Simon S. Kwok
wiley   +1 more source

A Simple Framework for the Stochastic Volatility Uncertainty [PDF]

Sahand Communications in Mathematical Analysis
This 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
doaj   +1 more source

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, Denis Belomestny, Simos George Meintanis, Emanuele Taufer   +3 more
wiley   +1 more source