Results 61 to 70 of about 27,645 (243)
Lifting the Heston model [PDF]
Quantitative Finance, 2019 Quantitative Finance, Taylor & Francis (Routledge), In ...
openaire +2 more sources
, 2005 We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian S\~ao Paulo Stock Exchange Index (IBOVESPA).
Barndorff-Nielsen +27 more
core +2 more sources
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
The Heston stochastic volatility model in Hilbert space
, 2017 We extend the Heston stochastic volatility model to a Hilbert space framework. The tensor Heston stochastic variance process is defined as a tensor product of a Hilbert-valued Ornstein-Uhlenbeck process with itself. The volatility process is then defined
Benth, Fred Espen +1 more
core +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 +2 more
openaire +4 more sources
Exact simulation pricing with Gamma processes and their extensions [PDF]
, 2013 Exact path simulation of the underlying state variable is of great practical importance in simulating prices of financial derivatives or their sensitivities when there are no analytical solutions for their pricing formulas.
James, Lancelot F. +2 more
core +2 more sources
American Options in the Volterra Heston Model
SIAM Journal on Financial Mathematics, 2022 38 pages, 1 table, 8 figures.
Chevalier, Etienne +2 more
openaire +3 more sources
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
doaj +1 more source
Time-dependent Heston model [PDF]
, 2014 This work presents an exact solution to the generalized Heston model, where the model parameters are assumed to have linear time dependence The solution for the model in expressed in terms of confluent hypergeometric functions.
openaire +2 more sources
Business Ethics, the Environment &Responsibility, EarlyView.ABSTRACT This study examines the relationship between ESG news sentiment and corporate performance through the lens of stakeholder theory. While ESG ratings face significant limitations, including measurement inconsistencies and time lags, news sentiment analysis offers insights into internal and external stakeholder responses to ESG activities.
Jeong‐Ji Han +2 more
wiley +1 more source