Search Results - subject:"Heston's Model"

Inventory effects on the price dynamics of VSTOXX futures quantified via machine learning

Guterding, Daniel - In: The Journal of finance and data science : JFDS 7 (2021), pp. 126-142

parameters of this Heston model. Following the calibration, we calculate theoretical VSTOXX futures prices and compare them to … which the market price does not agree with our Heston model. We collect a variety of market features that could potentially …

Persistent link: https://www.econbiz.de/10013162887

Optimal reinsurance-investment with loss aversion under rough Heston model

Ma, Jingtang; Lu, Zhengyang; Chen, Dengsheng - In: Quantitative finance 23 (2023) 1, pp. 95-109

Persistent link: https://www.econbiz.de/10013490957

Sharp L¹-approximation of the log-Heston stochastic differential equation by Euler-type methods

Mickel, Annalena; Neuenkirch, Andreas - In: The journal of computational finance 26 (2023) 4, pp. 67-100

Persistent link: https://www.econbiz.de/10014342066

Interest rate derivatives for the fractional Cox-Ingersoll-Ross model

Bishwal, Jaya Prakasah Narayan - In: Algorithmic finance 10 (2023) 1/2, pp. 53-66

Persistent link: https://www.econbiz.de/10014474576

Implied higher order moments in the Heston model : a case study of S&P 500 index

Mehrdoust, Farshid; Noorani, Idin - In: Decisions in economics and finance : a journal of … 46 (2023) 2, pp. 477-504

Persistent link: https://www.econbiz.de/10014443752

Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation

MacKay, Anne; Vachon, Marie-Claude; Cui, Zhenyu - In: Quantitative finance 23 (2023) 7/8, pp. 1055-1078

Persistent link: https://www.econbiz.de/10014321664

A closed form solution for pricing variance swaps under the rescaled double Heston model

Yoon, Youngin; Kim, Jeong-Hoon - In: Computational economics 61 (2023) 1, pp. 429-450

Persistent link: https://www.econbiz.de/10014228437

Sharp L¹-approximation of the log-Heston stochastic differential equation by Euler-type methods

Mickel, Annalena; Neuenkirch, Andreas - In: The journal of computational finance : JFC 26 (2023) 4, pp. 67-100

Persistent link: https://www.econbiz.de/10014486902

The market price of risk for delivery periods: Pricing swaps and options in electricity markets

Kemper, Annika; Schmeck, Maren Diane; Balci, Anna KH. - 2020

In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period of time. In this paper, we introduce a market price for the delivery periods of electricity swaps, thereby opening an arbitrage-free pricing framework for derivatives based on...

Persistent link: https://www.econbiz.de/10012388852

The market price of risk for delivery periods : pricing swaps and options in electricity markets

Kemper, Annika; Schmeck, Maren D.; Balci, Anna KH. - 2020

Persistent link: https://www.econbiz.de/10012216375