Results 91 to 100 of about 116,745 (301)
Complexity, 2019 This paper presents an extension of double Heston stochastic volatility model by incorporating stochastic interest rates and derives explicit solutions for the prices of the continuously monitored fixed and floating strike geometric Asian options.
Yanhong Zhong, Guohe Deng
doaj +1 more source
Real Option Valuation with Stochastic Interest Rate and Stochastic Volatility
Matematika, 2019 . Real options are one of the most interesting research topics in Finance since 1977 Stewart C. Myers from MIT Sloan School of Management published his pioneering article on this subject in the Journal of Financial Economics.
Ramdhan Fazrianto Suwarman
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A Bayesian analysis based on multivariate stochastic volatility model: evidence from green stocks. [PDF]
J Comb Optim, 2023 Ma M, Zhang J.
europepmc +1 more source
A Market Model for Stochastic Implied Volatility [PDF]
In this paper a stochastic volatility model is presented that directly prescribes the stochastic development of the implied Black-Scholes volatilities of a set of given standard options.
Schönbucher, Philpp J.
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A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
, 2012 We propose a multi-scale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility model.
Fouque, Jean-Pierre, Lorig, Matthew
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Advanced Science, EarlyView.Engineered extracellular vesicles displaying Ephrin‐B2 selectively target Ephrin‐B4–expressing ovarian cancer cells, enabling precise delivery in patient‐derived models. This scalable bio‐manufacturing platform reveals a versatile strategy to exploit Ephrin signaling for highly specific therapeutic payload delivery and motivates exploration of tailored
Nihar Godbole +17 more
wiley +1 more source
, 2008 The purpose of this paper is to study the generalized Fong--Vasicek two-factor interest rate model with stochastic volatility. In this model the dispersion of the stochastic short rate (square of volatility) is assumed to be stochastic as well and it ...
Sevcovic, D., Stehlikova, B.
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Linear State Models for Volatility Estimation and Prediction [PDF]
, 2006 This report covers the important topic of stochastic volatility modelling with an emphasis on linear state models. The approach taken focuses on comparing models based on their ability to fit the data and their forecasting performance.
Date, P, Hawkes, R
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Asymptotic analysis for stochastic volatility: Edgeworth expansion
, 2010 The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions.
Fukasawa, Masaaki
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Memristive Physical Reservoir Computing
Advanced Science, EarlyView.Memristors’ nonlinear dynamics and input‐dependent memory effects make them ideal candidates for high‐performance physical reservoir computing (RC). Based on their conductance modulation, memristors can be classified as electronic or optoelectronic types.
Dian Jiao +9 more
wiley +1 more source