Results 61 to 70 of about 2,164 (216)

Option pricing in Heston model by means of weak approximations

Lietuvos Matematikos Rinkinys, 2013
We apply weak split-step approximations of the Heston model for evaluation of put and call option prices in this model.
Antanas Lenkšas, Vigirdas Mackevičius
doaj   +1 more source

Uneven Product Diversification: Explaining the Lag of Agricultural Economies

International Economic Review, EarlyView.
ABSTRACT This paper documents that agricultural sectors diversify less than other manufacturing activities. A simple model shows that this difference can contribute to welfare divergence in a way that is qualitatively different to what results when uneven growth happens in the intensive margin.
Guzmán Ourens
wiley   +1 more source

Extreme‐weather risk and the cross‐section of stock returns

Journal of Risk and Insurance, EarlyView.
Abstract We document an extreme‐weather risk premium in the cross‐section of stock returns. Between 1995 and 2019, stocks of domestic U.S. firms with the most negative sensitivity to aggregate storm losses earned an annual excess‐return spread of more than 6 percentage points relative to those with the most positive sensitivity, a difference not ...
Alexander Braun, Julia Braun, Florian Weigert   +2 more
wiley   +1 more source

A Closed-Form Pricing Formula for Log-Return Variance Swaps under Stochastic Volatility and Stochastic Interest Rate

Mathematics, 2021
At present, the study concerning pricing variance swaps under CIR the (Cox–Ingersoll–Ross)–Heston hybrid model has achieved many results; however, due to the instantaneous interest rate and instantaneous volatility in the model following the Feller ...
Chen Mao, Guanqi Liu, Yuwen Wang
doaj   +1 more source

Instabilities of Super-Time-Stepping Methods on the Heston Stochastic Volatility Model [PDF]

, 2023
Fabien Le Floc’h
openalex   +1 more source

Portfolio Optimization for Pension Purposes: Literature Review

Journal of Economic Surveys, Volume 40, Issue 1, Page 45-72, February 2026.
ABSTRACT This systematic review identifies persistent challenges and gaps in the literature on pension portfolio optimization models. We searched, selected, and critically analyzed 82 articles from three major academic databases published over the past decade to investigate the barriers to the effective implementation of these models.
Leonardo Moreira, Igor Leão dos Santos, Pedro Henrique Gonzalez   +2 more
wiley   +1 more source

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, Pompa, Gabriele, Renò, Roberto   +2 more
openaire   +3 more sources

Algorithmic complexity in the heston model [PDF]

Proceedings of the fourth workshop on High performance computational finance, 2011
In this paper, we present an in-depth investigation of the algorithmic parameter influence for barrier option pricing with the Heston model. For that purpose we focus on single- and multi-level Monte Carlo simulation methods. We investigate the impact of algorithmic variations on simulation time and energy consumption, giving detailed measurement ...
Henning Marxen, Anton Kostiuk, Ralf Korn, Christian de Schryver, Stephan Wurm, Ivan Shcherbakov, Norbert Wehn   +6 more
openaire   +1 more source

Flap Choice in Gender Affirming Phalloplasty Affects Postoperative Complication Rates

Microsurgery, Volume 46, Issue 1, January 2026.
ABSTRACT Background Phalloplasty plays an important role in female‐to‐male (FTM) gender affirmation surgery to create a neophallus that prioritizes aesthetic and functional outcomes. Patients have a variety of flap choices for phalloplasty, but they can often come with complications. This study aimed to evaluate the impact of flap choice on the rate of
Ellen Wang, Bennett Cleff, Anthony Basta, Jackson C. Green, Kylie R. Swiekatowski, Paul Won, Kris Slaughter, Rachel Goldstein, Klara Sputova, Daniel Freet   +9 more
wiley   +1 more source

Fecal levels of short‐chain fatty acids and prominent bacterial taxa involved in their production are inversely associated with amyloid‐positive status

Alzheimer's &Dementia, Volume 21, Issue S2, December 2025.
Abstract Background Short‐chain fatty acids (SCFA), including acetate, propionate, and butyrate, are abundant gut bacterial metabolites produced via the fermentation of dietary fibers and resistant starch. Several lines of evidence, particularly in preclinical mouse models, suggest a protective role of SCFA against Alzheimer's Disease (AD) pathology ...
Jessamine F Kuehn, Qijun Zhang, Margo B. Heston, Jea Woo Kang, Sandra Harding, Nancy J Davenport‐Sis, Robert L. Kerby, Emma C. Schiffmann, Joseph L. Wheeler, Eleanor Clements, Sushma Shankar, Alissa Mickol, Justus Zemberi, Hana Chow, Eric Zhang, Joseph Harpt, Aaliyah Mushtaque, Michelle Yoo, Aiden Cook, Cynthia M. Carlsson, Sterling C Johnson, Sanjay Asthana, Henrik Zetterberg, Kaj Blennow, Tyler K. Ulland, Barbara B. Bendlin, Federico E. Rey   +26 more
wiley   +1 more source