Search Results - subject:"Heston's Model"

The returns and risks of investment portfolio in a financial market

Li, Jiang-Cheng; Mei, Dong-Cheng - In: Physica A: Statistical Mechanics and its Applications 406 (2014) C, pp. 67-72

model based on the Heston model. After the theoretical model and analysis of portfolio were calculated and analyzed, we find …

Persistent link: https://www.econbiz.de/10010777052

Comovement and Polarization of Interest Rate and Stock Market in Turkey

Duran, Ahmet; Izgi, Burhaneddin - In: BIFEC Book of Abstracts & Proceedings 1 (2014) 1, pp. 161-172

It is important to analyze and distinguish the comovement and polarization behaviors for securities in financial markets. In this paper, we examine the comovement and polarization of interest rates and daily returns of BIST - 100 index between 2010 and 2013 in order to understand the...

Persistent link: https://www.econbiz.de/10010779961

Comovement and Polarization of Interest Rate and Stock Market in Turkey

Duran, Ahmet; Izgi, Burhaneddin - In: BIFEC Book of Abstracts & Proceedings 1 (2014) 2, pp. 130-141

Persistent link: https://www.econbiz.de/10010781912

EUROPEAN OPTIONS SENSITIVITY WITH RESPECT TO THE CORRELATION FOR MULTIDIMENSIONAL HESTON MODELS

ABBAS-TURKI, LOKMAN A.; LAMBERTON, DAMIEN - In: International Journal of Theoretical and Applied … 17 (2014) 03, pp. 1450015-1

We study the sensitivity of European option prices with respect to correlation parameters in the multi-asset Heston … model. The differentiability of the price function with respect to the correlation is proved by using the regularity of the …

Persistent link: https://www.econbiz.de/10010883213

An Efficient Semi-Analytical Simulation for the Heston Model

Sun, Xianming; Gan, Siqing - In: Computational Economics 43 (2014) 4, pp. 433-445

the transformed Heston model, where the variance process is displaced by the corresponding volatility process. The …

Persistent link: https://www.econbiz.de/10010866881

Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model

Nagashima, Kazuki; Chung, Tsz-Kin; Tanaka, Keiichi - In: Asia-Pacific Financial Markets 21 (2014) 4, pp. 351-396

expansion approach to the multifactor Heston model with time-dependent parameters is developed. The results of Benhamou et al …

Persistent link: https://www.econbiz.de/10010989076

Pricing multiasset cross-currency options

Shiraya, Kenichiro; Takahashi, Akihiko - In: The journal of futures markets 34 (2014) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10010254960

An efficient semi-analytical simulation for the Heston model

Sun, Xianming; Gan, Siqing - In: Computational economics 43 (2014) 4, pp. 433-445

Persistent link: https://www.econbiz.de/10010396258

Prices and asymptotics for discrete variance swaps

Bernard, Carole; Cui, Zhenyu - In: Applied mathematical finance 21 (2014) 1/2, pp. 140-173

Persistent link: https://www.econbiz.de/10010352006

European options sensitivity with respect to the correlation for multidimensional Heston models

Abbas-Turki, Lokman A.; Lamberton, Damien - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-36

Persistent link: https://www.econbiz.de/10010364767