Search Results - subject:"Heston's Model"

EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL

LEVENDORSKIĬ, SERGEI - In: International Journal of Theoretical and Applied … 15 (2012) 07, pp. 1250050-1

inaccurate pricing and calibration. As applications, we consider the Heston model and its generalization. For many parameter sets …

Persistent link: https://www.econbiz.de/10011011297

A decomposition formula for option prices in the Heston model and applications to option pricing approximation

Alòs, Elisa - In: Finance and Stochastics 16 (2012) 3, pp. 403-422

Persistent link: https://www.econbiz.de/10010997054

Valuation of power options under Heston's stochastic volatility model

Kim, Jerim; Kim, Bara; Moon, Kyoung-Sook; Wee, In-Suk - In: Journal of Economic Dynamics and Control 36 (2012) 11, pp. 1796-1813

We derive semi-analytic solutions for power option prices under the Heston model; specifically, the pricing formula is … one. Fortunately, the moment explosion property under the Heston model is examined systematically in Andersen and …

Persistent link: https://www.econbiz.de/10010594899

Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling

Kleppe, Tore Selland; Skaug, Hans Julius - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3105-3119

A methodology for fitting general stochastic volatility (SV) models that are naturally cast in terms of a positive volatility process is developed. Two well known methods for evaluating the likelihood function, sequential importance sampling and Laplace importance sampling, are combined. The...

Persistent link: https://www.econbiz.de/10010617642

Valuation of power options under Heston’s stochastic volatility model

Kim, Jerim; Kim, Bara; Moon, Kyoung-sook; Wee, In-suk - In: Journal of economic dynamics & control 36 (2012) 11, pp. 1796-1813

Persistent link: https://www.econbiz.de/10009701929

On pricing contingent claims under the double heston model

Costabile, M.; Massabò, I.; Russo, E. - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-27

Persistent link: https://www.econbiz.de/10009672610

Efficient pricing and reliable calibration in the Heston model

Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-44

Persistent link: https://www.econbiz.de/10009685887

Analytical approximation of pricing average options under the Heston model

Yamazaki, Akira - In: Recent advances in financial engineering 2011: …, (pp. 203-220). 2012

Persistent link: https://www.econbiz.de/10009573427

Essays on applications of particle learning in financial econometrics

Rios Arango, Maria Paula - 2012

Persistent link: https://www.econbiz.de/10011819186

Vorschlag eines Bewertungskonzepts von Zertifikaten

Varmaz, Armin; Fieberg, Christian - In: Kredit und Kapital 45 (2012) 2, pp. 243-266

Persistent link: https://www.econbiz.de/10009580913