Search Results - subject:"Heston's Model"

ADI schemes for pricing American options under the Heston model

Haentjens, Tinne; Hout, Karel J. in 't - In: Applied mathematical finance 22 (2015) 3/4, pp. 207-237

Persistent link: https://www.econbiz.de/10011436200

Exact present solution with consistent future approximation : a gridless algorithm to solve stochastic dynamics models

Den Haan, Wouter J.; Kobielarz, Michal L.; Rendahl, Pontus - 2015

Persistent link: https://www.econbiz.de/10011442792

Stochastic volatility models for the Brent oil futures market : forecasting and extracting conditional moments

Solibakke, Per Bjarte - In: OPEC energy review 39 (2015) 2, pp. 184-221

Persistent link: https://www.econbiz.de/10011414460

Asymptotic arbitrage in the Heston model

Haba, Fatma; Jacquier, Antoine - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-18

Persistent link: https://www.econbiz.de/10011419412

Joining the Heston and a three-factor short rate model : a closed-form approach

Horsky, Roman; Sayer, Tilman - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-17

Persistent link: https://www.econbiz.de/10011419421

On two transform methods for the valuation of contingent claims

Nwozo, Chuma Raphael; Fadugba, Sunday Emmanuel - In: Journal of mathematical finance 5 (2015) 2, pp. 88-112

Persistent link: https://www.econbiz.de/10011398726

The Heston model and its extensions in VBA + website

Rouah, Fabrice - 2015

"Practical options pricing for better-informed investment decisions.The Heston Model and Its Extensions in VBA is the … definitive guide to options pricing using two of the derivatives industry's most powerful modeling tools--the Heston model, and …--and accurately--exploit market information to better inform investment decisions. Coverage includes a description of the Heston model …

Persistent link: https://www.econbiz.de/10010527234

Executive stock option pricing in China under stochastic volatility

Chong, Terence Tai-Leung; Ding, Yue; Li, Yong - In: The journal of futures markets 35 (2015) 10, pp. 953-960

Persistent link: https://www.econbiz.de/10011392713

SABR and SABR LIBOR market models in practice : with examples implemented in Python

Crispoldi, Christian; Wigger, Gérald; Larkin, Peter - 2015

Persistent link: https://www.econbiz.de/10011374239

Real-time forecast evaluation of DSGE models with stochastic volatility

Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul - 2015

Persistent link: https://www.econbiz.de/10011326757