Search Results - subject:"Heston's Model"

Realized Stochastic Volatility with General Asymmetry and Long Memory

Asai, Manabu - 2017

The paper develops a novel realized stochastic volatility model of asset returns and realized volatility that incorporates general asymmetry and long memory (hereafter the RSV-GALM model). The contribution of the paper ties in with Robert Basmann's seminal work in terms of the estimation of...

Persistent link: https://www.econbiz.de/10012958466

Comparison of Black Scholes and Heston Models for Pricing Index Options

Chakrabarti, Binay - 2017

This paper studies the performance of Heston Model and Black-Scholes Model in pricing index options. I have compared … Heston Model by non-linear least square optimization using call option prices from a period of 20 days (3rd October, 2016 to …-to-maturity. We observe that both Heston Model and Black Scholes Model under-price in-the-money options and over-price out …

Persistent link: https://www.econbiz.de/10012959780

Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory

Asai, Manabu - 2017

In recent years fractionally diﬀerenced processes have received a great deal of attention due to their ﬂexibility in ﬁnancial applications with long memory. In this paper, we develop a new realized stochastic volatility (RSV) model with general Gegenbauer long memory (GGLM), which...

Persistent link: https://www.econbiz.de/10012944285

Modeling time-varying uncertainty of multiple-horizon forecast errors

Clark, Todd E.; McCracken, Michael W.; Mertens, Elmar - 2017

Persistent link: https://www.econbiz.de/10011718991

Early exercise premium method for pricing American options under the J-model

Jerbi, Yacin - In: Financial Innovation 2 (2016) 21, pp. 1-26

Background: This study develops a new model called J-am for pricing American options and for determining the related early exercise boundary (EEB). This model is based on a closed-form solution J-formula for pricing European options, defined in the study by Jerbi (Quantitative Finance,...

Persistent link: https://www.econbiz.de/10011808230

Loan growth and bank solvency: evidence from the Pakistani banking sector

Kashif, Muhammad; Iftikhar, Syed Faizan; Iftikhar, Khurram - In: Financial Innovation 2 (2016) 22, pp. 1-13

Persistent link: https://www.econbiz.de/10011808231

Real-time forecast evaluation of DSGE models with stochastic volatility

Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul - 2016

Persistent link: https://www.econbiz.de/10011545886

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016

In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility (SV)...

Persistent link: https://www.econbiz.de/10011483824

Testing for a common volatility process and information spillovers in bivariate financial time series models

Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2016 - Revised

Persistent link: https://www.econbiz.de/10011448006

Volatility curve generation using the Heston Model

Praturi, Krishna; Chakrabarti, Binay Bhushan - 2016

Persistent link: https://www.econbiz.de/10011453580