Search Results - subject:"Heston's Model"

A Fast Fourier Transform Technique for Pricing American Options Under Stochastic Volatility

Zhylyevskyy, Oleksandr - Department of Economics, Iowa State University - 2009

This paper develops a non-finite-difference-based method of American option pricing under stochastic volatility by extending the Geske-Johnson compound option scheme. The characteristic function of the underlying state vector is inverted to obtain the vector's density using a kernel-smoothed...

Persistent link: https://www.econbiz.de/10004987252

FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES

AHLIP, REHEZ; RUTKOWSKI, MAREK - In: International Journal of Theoretical and Applied … 12 (2009) 02, pp. 209-225

Forward start options are examined in Heston's (Review of Financial Studies 6 (1993) 327–343) stochastic volatility model with the CIR (Econometrica 53 (1985) 385–408) stochastic interest rates. The instantaneous volatility and the instantaneous short rate are assumed to be correlated with...

Persistent link: https://www.econbiz.de/10005000041

Optionsbewertung unter Berücksichtigung stochastischer Volatilität

Tallau, Christian - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 38 (2009) 1, pp. 14-19

Persistent link: https://www.econbiz.de/10003798963

HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT

CARR, PETER; SCHOUTENS, WIM - In: International Journal of Theoretical and Applied … 11 (2008) 04, pp. 403-414

-to-default, which is in itself a generalization of the Merton jump-to-default model and a special case of the Heston model with jumps … explain how to perfectly hedge a power payoff under the Heston model with jump-to-default. These theoretical payoffs play an …

Persistent link: https://www.econbiz.de/10005060233

Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing

Ninomiya, Syoiti; Victoir, Nicolas - In: Applied Mathematical Finance 15 (2008) 2, pp. 107-121

A new, simple algorithm of order 2 is presented to approximate weakly stochastic differential equations. It is then applied to the problem of pricing Asian options under the Heston stochastic volatility model. 2000 Mathematics Subject Classification, 65C30, 65C05.

Persistent link: https://www.econbiz.de/10005279059

Efficient pricing algorithms for exotic derivatives

Lord, Roger - 2008

Persistent link: https://www.econbiz.de/10003775897

Indifference Pricing and Hedging for Volatility Derivatives

Grasselli, M. R.; Hurd, T. R. - In: Applied Mathematical Finance 14 (2007) 4, pp. 303-317

model and in a new “reciprocal Heston” model. These are the first known explicit formulas for the indifference price for a … this representation, closed form solutions are given for the indifference price of a variance swap in the standard Heston …

Persistent link: https://www.econbiz.de/10005462493

MODERN LOGARITHMS FOR THE HESTON MODEL

FAHRNER, INGO - In: International Journal of Theoretical and Applied … 10 (2007) 01, pp. 23-30

Heston model when using the Lewis-Lipton formula in the right way. …

Persistent link: https://www.econbiz.de/10004971780

Hitting time distributions in financial markets

Valenti, Davide; Spagnolo, Bernardo; Bonanno, Giovanni - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 1, pp. 311-320

three models, namely the geometric Brownian motion, the GARCH model and the Heston model with that obtained from real market … data. We will present also some results of a generalized Heston model. …

Persistent link: https://www.econbiz.de/10010873723

Stochastic volatility of financial markets as the fluctuating rate of trading: An empirical study

Silva, A. Christian; Yakovenko, Victor M. - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 1, pp. 278-285

We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random walk (CTRW) framework. The probability distribution of the...

Persistent link: https://www.econbiz.de/10011063949