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  • Search: subject:"Heston's Model"
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Year of publication
Subject
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Stochastic volatility 157 Heston model 145 Optionspreistheorie 142 Stochastischer Prozess 141 Option pricing theory 140 Stochastic process 138 Stochastische Volatilität 128 Volatilität 126 Volatility 122 Theorie 47 Theory 45 Option trading 40 Optionsgeschäft 40 Monte Carlo simulation 35 Monte-Carlo-Simulation 31 Derivat 30 Derivative 30 stochastic volatility 27 Forecasting model 25 Prognoseverfahren 25 Black-Scholes model 24 Black-Scholes-Modell 24 USA 19 United States 19 Portfolio selection 18 Portfolio-Management 18 ARCH model 17 ARCH-Modell 17 Bayes-Statistik 16 Bayesian inference 16 VAR model 16 VAR-Modell 16 Simulation 15 Welt 15 World 15 Capital market returns 13 Estimation 13 Kapitalmarktrendite 13 Schätzung 13 Estimation theory 12
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Online availability
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Undetermined 141 Free 119 CC license 7
Type of publication
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Article 204 Book / Working Paper 123
Type of publication (narrower categories)
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Article in journal 147 Aufsatz in Zeitschrift 147 Graue Literatur 66 Non-commercial literature 66 Working Paper 65 Arbeitspapier 58 Hochschulschrift 11 Article 6 Aufsatz im Buch 6 Book section 6 Collection of articles written by one author 4 Sammlung 4 Thesis 4 Aufsatzsammlung 2 Collection of articles of several authors 2 Sammelwerk 2 Systematic review 1 Übersichtsarbeit 1
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Language
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English 266 Undetermined 58 German 3
Author
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Clark, Todd E. 15 McAleer, Michael 14 Asai, Manabu 11 Huber, Florian 10 Mertens, Elmar 9 Wystup, Uwe 9 Detlefsen, Kai 8 McCracken, Michael W. 8 Carriero, Andrea 7 Marcellino, Massimiliano 7 Aastveit, Knut Are 6 Chiarella, Carl 6 Griebsch, Susanne 6 Peiris, Shelton 6 Alòs, Elisa 5 Chang, Chia-Lin 5 Janek, Agnieszka 5 Kluge, Tino 5 Zhu, Song-Ping 5 Chan, Jiun Hong 4 Crespo Cuaresma, Jesús 4 Cui, Zhenyu 4 Härdle, Wolfgang 4 Härdle, Wolfgang Karl 4 Jacquier, Antoine 4 Joshi, Mark S. 4 Mickel, Annalena 4 Neuenkirch, Andreas 4 Bernard, Carole 3 Breitung, Jörg 3 Chen, Jinghui 3 Doppelhofer, Gernot 3 Ehrhardt, Matthias 3 Feldkircher, Martin 3 Forde, Martin 3 Gatheral, Jim 3 Gnoatto, Alessandro 3 Grasselli, Martino 3 Günther, Michael 3 Hafner, Christian M. 3
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Institution
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 5 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 5 Department of Economics and Business, Universitat Pompeu Fabra 3 Finance Discipline Group, Business School 3 Department of Economics, Iowa State University 2 School of Economics and Management, University of Aarhus 2 Birkbeck, Department of Economics, Mathematics & Statistics 1 Frankfurt School of Finance and Management 1 Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 1 National Bureau of Economic Research 1 Society for Computational Economics - SCE 1 Technische Universität Dresden 1 Universität Trier 1 World Scientific Publishing Co. Pte. Ltd. 1
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Published in...
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International journal of theoretical and applied finance 24 Quantitative finance 14 The journal of futures markets 11 International Journal of Theoretical and Applied Finance (IJTAF) 10 The journal of computational finance 8 Computational economics 7 International journal of financial engineering 7 Physica A: Statistical Mechanics and its Applications 7 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 7 Department of Economics working paper 6 Econometric Institute research papers 6 Applied mathematical finance 5 MPRA Paper 5 SFB 649 Discussion Paper 5 SFB 649 Discussion Papers 5 Discussion paper / Centre for Economic Policy Research 4 Discussion paper / Tinbergen Institute 4 European journal of operational research : EJOR 4 Finance and Stochastics 4 Finance and stochastics 4 Review of Derivatives Research 4 Asia-Pacific Financial Markets 3 BIFEC Book of Abstracts & Proceedings 3 CORE discussion papers : DP 3 Decisions in economics and finance : DEF ; a journal of applied mathematics 3 Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 3 Federal Reserve Bank of Cleveland working paper series 3 Finance research letters 3 Insurance / Mathematics & economics 3 Journal of banking & finance 3 Journal of economic dynamics & control 3 Journal of mathematical finance 3 Journal of risk 3 Journal of risk and financial management : JRFM 3 Quantitative Finance 3 Research Paper Series / Finance Discipline Group, Business School 3 Working paper 3 Applied Mathematical Finance 2 Asia-Pacific financial markets 2 CESifo working papers 2
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Source
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ECONIS (ZBW) 244 RePEc 70 EconStor 13
Showing 121 - 130 of 327
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Complexity reduction for calibration to American options
Burkovska, Olena; Glau, Kathrin; Mahlstedt, Mirco; … - In: The journal of computational finance 23 (2019) 1, pp. 25-60
Persistent link: https://www.econbiz.de/10012064981
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CVA for Cliquet options under Heston model
Feng, Yaqin; Wang, Min; Zhang, Yuanqing - In: The North American journal of economics and finance : a … 48 (2019), pp. 272-282
Persistent link: https://www.econbiz.de/10012120248
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Projections of the stochastic discount factor and optimal volatility derivatives
Dyachenko, Artem - 2019
Persistent link: https://www.econbiz.de/10012416803
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Time-consistent investment and reinsurance strategies for mean-variance insurers with relative performance concerns under the Heston model
Zhu, Huainian; Cao, Ming; Zhang, Chengke - In: Finance research letters 30 (2019), pp. 280-291
Persistent link: https://www.econbiz.de/10012420819
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Hyperbolic symmetrization of heston type diffusion
Ida, Yuuki; Kinoshita, Tsuyoshi - In: Asia-Pacific financial markets 26 (2019) 3, pp. 355-364
Persistent link: https://www.econbiz.de/10012309668
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Anchoring-adjusted option pricing models
Siddiqi, Hammad - In: The journal of behavioral finance : a publication of … 20 (2019) 2, pp. 139-153
Persistent link: https://www.econbiz.de/10012180471
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Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 22 (2019) 3, pp. 1-49
Persistent link: https://www.econbiz.de/10012019776
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Rational approximation of the rough Heston solution
Gatheral, Jim; Radoičić, Radoš - In: International journal of theoretical and applied finance 22 (2019) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10012019824
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Semi-analytical prices for lookback and barrier options under the Heston model
De Gennaro Aquino, Luca; Bernard, Carole - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 715-741
Persistent link: https://www.econbiz.de/10012127317
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A closed-form option pricing approximation formula for a fractional Heston model
Alòs, Elisa; Yang, Yan - Department of Economics and Business, Universitat … - 2014
We present a method to develop simple option pricing approximation formulas for a fractional Heston model, where the …-time behaviour of the Heston model, at the same time it explains the slow decrease of the smile amplitude when time to maturity …
Persistent link: https://www.econbiz.de/10010938706
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