Search Results - subject:"Heston's Model"

Efficient, almost exact simulation of the heston stochastic volatility model

van Haastrecht, Alexander; Pelsser, Antoon André Jean - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 1-43

Persistent link: https://www.econbiz.de/10008860425

Alternative tilts for nonparametric option pricing

Haley, M. Ryan; Walker, Todd B. - In: The journal of futures markets 30 (2010) 10, pp. 983-1006

Persistent link: https://www.econbiz.de/10008900930

Computation of volatility in stochastic volatility models with high frequency data

Barucci, Emilio; Mancino, Maria Elvira - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 767-787

Persistent link: https://www.econbiz.de/10008904328

Regime-switching recombining tree for option pricing

Liu, Rui Hua - In: International journal of theoretical and applied finance 13 (2010) 3, pp. 479-499

Persistent link: https://www.econbiz.de/10008904355

Utility maximization in affine stochastic volatility models

Kallsen, Jan; Muhle-Karbe, Johannes - In: International journal of theoretical and applied finance 13 (2010) 3, pp. 459-477

Persistent link: https://www.econbiz.de/10008904356

Exact pricing with stochastic volatility and jumps

D'Ippoliti, Fernanda; Moretto, Enrico; Pasquali, Sara; … - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 901-929

Persistent link: https://www.econbiz.de/10008905110

A hybrid asymptotic expansion scheme : an application to long-term currency options

Takahashi, Akihiko; Takehara, Kohta - In: International journal of theoretical and applied finance 13 (2010) 8, pp. 1179-1221

Persistent link: https://www.econbiz.de/10008906179

Asymptotic analysis for foreign exchange derivatives with stochastic volatility

Cuthbertson, Charles; Pavliotis, Grigorios; Rafailidis, … - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1131-1147

Persistent link: https://www.econbiz.de/10008906191

Option pricing under Ornstein-Uhlenbeck stochastic volatility : a linear model

Bormetti, Giacomo; Cazzola, Valentina; Delpini, Danilo - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1047-1063

Persistent link: https://www.econbiz.de/10008906216

An analytic approximation of the likelihood function for the Heston model volatility estimation problem

Atiya, Amir; Wall, Steve - In: Quantitative Finance 9 (2009) 3, pp. 289-296

Estimating the volatility from the underlying asset price history for the discrete observations case is a challenging inference problem. Yet it has attracted much research interest due to the key role of volatility in many areas of finance. In this paper we consider the Heston stochastic...

Persistent link: https://www.econbiz.de/10004982263