Results 61 to 70 of about 1,024,611 (253)
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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Smiling twice: The Heston++ model
Journal of Banking & Finance, 2018 Abstract We recommend the addition of a deterministic displacement to multi-factor affine models to calibrate and hedge SPX and VIX derivatives jointly. The proposed model, labeled Heston++, calibrates both markets with an average relative error (on quoted implied volatilities over two years of data) of 2%, and a maximum relative error of 4%, without
Pacati, Claudio +2 more
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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
Markovian structure of the Volterra Heston model [PDF]
Statistics & Probability Letters, 2019 We characterize the Markovian and affine structure of the Volterra Heston model in terms of an infinite-dimensional adjusted forward process and specify its state space. More precisely, we show that it satisfies a stochastic partial differential equation and displays an exponentially-affine characteristic functional.
Eduardo Abi Jaber +2 more
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A gradient based calibration method for the Heston model [PDF]
arXiv, 2021 The Heston model is a well-known two-dimensional financial model. Because the Heston model contains implicit parameters that cannot be determined directly from real market data, calibrating the parameters to real market data is challenging. In addition, some of the parameters in the model are non-linear, which makes it difficult to find the global ...
arxiv
Asymptotic Behaviour of the Fractional Heston Model [PDF]
SSRN Electronic Journal, 2014 We consider the fractional Heston model originally proposed by Comte, Coutin and Renault. Inspired by recent ground-breaking work on rough volatility, which showed that models with volatility driven by fractional Brownian motion with short memory allows for better calibration of the volatility surface and more robust estimation of time series of ...
Hamza Guennoun +3 more
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On the RND under Heston's stochastic volatility model [PDF]
arXiv, 2021 We consider Heston's (1993) stochastic volatility model for valuation of European options to which (semi) closed form solutions are available and are given in terms of characteristic functions. We prove that the class of scale-parameter distributions with mean being the forward spot price satisfies Heston's solution.
arxiv
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
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Adaptive Simulation of the Heston Model [PDF]
, 2011 Recent years have seen an increased level of interest in pricing equity options under a stochastic volatility model such as the Heston model. Often, simulating a Heston model is difficult, as a standard finite difference scheme may lead to significant bias in the simulation result.
Ian Iscoe, Asif Lakhany
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AIMS Mathematics, 2023 In this paper a finite difference method (FDM) is provided for pricing perpetual timer options under the Heston volatility model. Considering the degeneracy of the pricing equation, we first prove the existence and uniqueness of the solution of the ...
Yaoyuan Zhang, Lihe Wang
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