Search Results - subject:"Heston's Model"

The Generalized Gamma distribution as a useful RND under Heston's stochastic volatility model

Boukai, Benzion - In: Journal of Risk and Financial Management 15 (2022) 6, pp. 1-18

We present the Generalized Gamma (GG) distribution as a possible risk neutral distribution (RND) for modeling European options prices under Heston's stochastic volatility (SV) model. We demonstrate that under a particular reparametrization, this distribution, which is a member of the...

Persistent link: https://www.econbiz.de/10014332439

Time-varying dynamics of the german business cycle : a comprehensive investigation

Reif, Magnus - In: Oxford bulletin of economics and statistics 84 (2022) 1, pp. 80-102

Persistent link: https://www.econbiz.de/10012818979

Optimal exercise frontier of Bermudan options by simulation methods

Xie, Dejun; Edwards, David A.; Wu, Xiaoxia - In: International journal of financial engineering 9 (2022) 3, pp. 2250013-1-2250013-20

Persistent link: https://www.econbiz.de/10013367611

On the asymptotic behavior of the optimal exercise price near expiry of an American put option under stochastic volatility

Chen, Wenting; Zhu, Song-Ping - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-19

volatility model, such as the Heston model, has not been reported at all. Adopting the method of matched asymptotic expansions …

Persistent link: https://www.econbiz.de/10013273116

The Generalized Gamma distribution as a useful RND under Heston's stochastic volatility model

Boukai, Benzion - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-18

Persistent link: https://www.econbiz.de/10013273577

Deep Quadratic Hedging

Gnoatto, Alessandro; Lavagnini, Silvia; Picarelli, Athena - 2022

Persistent link: https://www.econbiz.de/10013535748

Portfolio optimization with feedback strategies based on artificial neural networks

Kopeliovich, Yaacov; Pokojovy, Michael - In: Finance research letters 69 (2024) 2, pp. 1-8

Persistent link: https://www.econbiz.de/10015191872

On bid and ask pricing of European options via direct discretization of Choquet distorted expectations

Michielon, Matteo - In: Quantitative finance 24 (2024) 12, pp. 1729-1745

Persistent link: https://www.econbiz.de/10015196963

Option pricing in the Heston model with physics inspired neural networks

Hainaut, Donatien; Casas, Alex - In: Annals of finance 20 (2024) 3, pp. 353-376

Persistent link: https://www.econbiz.de/10015188746

A bilinear pseudo-spectral method for solving two-asset European and American pricing options

Khasi, M.; Rashidinia, J. - In: Computational economics 63 (2024) 2, pp. 893-918

Persistent link: https://www.econbiz.de/10014475075