Results 61 to 70 of about 13,841,708 (205)
SSRN Electronic Journal, 2021 This paper introduces the exponentially weighted moving average (EWMA) Heston model, a Markovian stochastic volatility model able to capture a wide range of empirical features related to volatility dynamics while being more tractable for simulations than rough volatility models based on fractional processes. After presenting the model and its principal
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Testing for Rough Volatility When Prices Are Purely Discontinuous
Journal of Time Series Analysis, EarlyView.ABSTRACT We consider the problem of nonparametric testing for rough volatility, using high‐frequency data with a fixed time span, in a setting where the price is purely discontinuous. More specifically, we analyze the asymptotic properties of a test we developed in previous work in a pure‐jump setting.
Carsten H. Chong, Viktor Todorov
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Information‐Theoretic Approach to Financial Market Modeling
Mathematical Finance, EarlyView.ABSTRACT The paper treats the financial market as a communication system, using four information‐theoretic assumptions to derive an idealized model with only one parameter. State variables are scalar stationary diffusions. The model maximizes the surprisal of the market and minimizes the Kullback–Leibler divergence between the benchmark‐neutral pricing
Eckhard Platen
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Simulation Schemes for the Heston Model With Poisson Conditioning
SSRN Electronic Journal, 2023 Exact simulation schemes under the Heston stochastic volatility model (e.g., Broadie-Kaya and Glasserman-Kim) suffer from computationally expensive modified Bessel function evaluations. We propose a new exact simulation scheme without the modified Bessel function, based on the observation that the conditional integrated variance can be simplified when ...
Jaehyuk Choi 0003, Yue Kuen Kwok
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Pricing the Financial Heston Model Using Parallel Finite Difference Method on GPU CUDA
International Journal of Applied Sciences and Smart Technologies, 2020 An option is a financial instrument in which two parties agree to exchange assets at a price or strike and the date or maturity is predetermined. Options can provide investors with information to set strategies so they can increase profits and reduce ...
Pranowo - Pranowo
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Stability estimates for Discrete duality finite volume scheme of Heston model [PDF]
Computer Methods in Materials Science, 2017 Tensor diffusion equation represents an important model in many fields of science. We focused our attention to the problem which arises in financial mathematics and is known as 2D Heston model.
Angela Handlovicova
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Combined multiplicative–Heston model for stochastic volatility
Physica A: Statistical Mechanics and its Applications, 2021 10 pages, 7 ...
Dashti Moghaddam, M., Serota, R. A.
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On Short‐Term Behavior of Implied Volatility for Index Options
Mathematical Finance, EarlyView.ABSTRACT This paper investigates short‐term behavior of implied volatility of derivatives written on a market index when the index is constructed using a ranking procedure. Even when stock prices follow geometric Brownian motion dynamics, the ranking mechanism can lead to the observed term structure of at‐the‐money (ATM) implied volatility skew for ...
Huy N. Chau, Duy Nguyen, Thai Nguyen
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Quantifying Uncertainty Potential Medical Applications of the Heston Model of Financial Stochastic Volatility [PDF]
The Heston Model, widely used in financial markets to characterize stochastic volatility, could potentially be useful in accounting for the impact of volatility in the broad field of medicine. This theoretical article highlights the potential uses of the
Heston, Thomas, Heston, Thomas F
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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
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