Results 81 to 90 of about 13,841,708 (205)

Closed‐Form Optimal Investment Under Generalized GARCH Models

European Financial Management, Volume 32, Issue 3, Page 791-815, June 2026.
ABSTRACT This paper introduces a new class of stochastic volatility models for asset prices, the generalized Heston Nandi GARCH (GHN‐GARCH), with the primary objective of optimal dynamic asset allocation under expected utility theory for constant relative risk aversion investors. We study some of its theoretical properties, and demonstrate that the GHN‐
Marcos Escobar‐Anel, Tobias Lausser, Rudi Zagst   +2 more
wiley   +1 more source

European option pricing under the approximate fractional Heston jump–diffusion model with a stochastic long-term mean

Alexandria Engineering Journal
To address the limitations of the traditional Heston model, which fails to capture asset price jumps, long-range dependence, and the term structure of implied volatility and variance swap curves, this study proposes an enhanced approximate fractional ...
Yubing Wang, Yanan Bai
doaj   +1 more source

The Echo Effect of Momentum and Investor Trading Behavior

International Review of Finance, Volume 26, Issue 2, June 2026.
ABSTRACT This study examines the momentum echo effect using cross‐sectional momentum (CMOM) and idiosyncratic momentum (IMOM) in the Korean stock market. The results document robust evidence for CMOM‐based portfolios, while IMOM‐based portfolios exhibit contrasting evidence.
Cheoljun Eom, Jong Won Park
wiley   +1 more source

Option Pricing Under Rough Heston Model With Jumps

, 2022
The rough Heston model with jumps is proposed and studied in the thesis which is inspired by some well-known models, including the Heston model, rough Heston model, and Kou's jump model.
Jin, Yazhao
core   +1 more source

Algorithm for Financial Derivatives Evaluation in Generalized Double-Heston Model [PDF]

This paper shows how can be estimated the value of an option if we assume the double- Heston model on a message-based architecture. For path trace simulation we will discretize continous model with an Euler division of time.Monte Carlo; algorithms ...
Tiberiu Socaciu, Bogdan Patrut
core  

The put-call symmetry for American options in the Heston stochastic volatility model [PDF]

, 2014
We extend to the Heston stochastic volatility framework the parity result of McDonald and Schroder (1998) for American call and put ...
Sbuelz, Alessandro, De Donno, Marzia, A. Battauz, BATTAUZ, ANNA, Marzia De Donno, Anna Battauz, A. Sbuelz, Alessandro Sbuelz   +7 more
core  

Skew Premiums Around Earnings Announcements

Financial Review, Volume 61, Issue 2, Page 533-554, May 2026.
ABSTRACT We examine skew premiums in equity options around earnings announcements. We use the realized returns to delta‐neutral risk reversal option spreads as a proxy for the skew premiums. We find skew premiums are economically significant around earnings announcements and are not explained by changes in variance risk premiums.
Thaddeus Neururer, George Papadakis
wiley   +1 more source

FX Smile in the Heston Model [PDF]

The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is nonnegative and mean-reverting, which is what we observe in the markets.
Rafal Weron, Tino Kluge, Agnieszka Janek, Uwe Wystup   +3 more
core  

A Heston Fractional Vasicek Framework for Option Pricing [PDF]

Mathematics and Modeling in Finance
We develop an option-pricing framework that couples the Heston stochastic volatility model with a fractional Vasicek short-rate process to incorporate long-memory effects in interest rates.
Somayeh Fallah
doaj   +1 more source

Uneven Product Diversification: Explaining the Lag of Agricultural Economies

International Economic Review, Volume 67, Issue 2, Page 581-604, May 2026.
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