Results 61 to 70 of about 4,224 (208)

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

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
wiley   +1 more source

The EWMA Heston model

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
openaire   +3 more sources

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

Examining the Impact of ESG News Sentiment on Corporate Performance: A Comprehensive Analysis by News Topic and Industry

Business Ethics, the Environment &Responsibility, Volume 35, Issue 3, Page 1624-1647, July 2026.
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, Soyoung Jun, Jong Woo Kim   +2 more
wiley   +1 more source

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
doaj   +1 more source

Quadratic Hedging of American Options Under GARCH Models

Journal of Futures Markets, Volume 46, Issue 6, Page 1079-1097, June 2026.
ABSTRACT American options are widely traded in financial markets, yet there is a scarcity of literature on hedging in incomplete markets. In this paper, we derive optimal hedging ratios and option values using Local Risk Minimization (LRM) and Global Risk Minimization (GRM) hedging strategies through dynamic programming.
Junmei Ma, Chen Wang, Wei Xu
wiley   +1 more source

Rough Heston model with variable Hurst exponent and option pricing

International Review of Economics & Finance
This paper studies a rough Heston model with a variable Hurst exponent. A piecewise rough Heston model is constructed via a piecewise Hawkes process and analyzed within this framework.
Zhengguang Shi, Haofei Wu
doaj   +1 more source

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

Improving Implied Volatility Forecasts for American Options Using Neural Networks

Journal of Futures Markets, Volume 46, Issue 6, Page 1137-1153, June 2026.
ABSTRACT This paper explores the application of neural networks to improve pricing of American options. Focusing on both American and European options on the S&P 100 index from January 2016 to August 2023, we integrate neural networks to model the difference between market‐implied and model‐implied volatilities derived from the Black‐Scholes and Heston
Haitong Jiang, Emese Lazar, Miriam Marra
wiley   +1 more source