Search Results - subject:"Heston's Model"

Efficient option pricing in the rough Heston model using weak simulation schemes

Bayer, Christian - In: Quantitative finance 24 (2024) 9, pp. 1247-1261

Persistent link: https://www.econbiz.de/10015196883

Optimal static hedging of variable annuities with volatility-dependent fees

Tang, Junsen - In: Risks : open access journal 12 (2024) 1, pp. 1-20

Variable annuities (VAs) and other long-term equity-linked insurance products are typically difficult to hedge in the incomplete markets. A state-dependent fee tied with market volatility for VAs is designed to contribute the risk-sharing mechanism between policyholders and insurers. Different...

Persistent link: https://www.econbiz.de/10014480918

Signal extraction by the extremum Monte Carlo method

Moussa, Karim - 2024

Persistent link: https://www.econbiz.de/10014512213

An efficient and provable sequential quadratic programming method for American and swing option pricing

Shen, Jinye; Huang, Weizhang; Ma, Jingtang - In: European journal of operational research : EJOR 316 (2024) 1, pp. 19-35

Persistent link: https://www.econbiz.de/10014566281

Parameter estimation of the Heston volatility model with jumps in the asset prices

Gruszka, Jarosław; Szwabiński, Janusz - In: Econometrics : open access journal 11 (2023) 2, pp. 1-26

for several decades. The Heston model, for instance, is based on two coupled SDEs and is often used in financial … estimation procedure of the Heston model without and with jumps in the asset prices is presented. Bayesian regression combined … simulations of the Heston model to investigate the performance of the estimators. In addition, a practical follow-along recipe is …

Persistent link: https://www.econbiz.de/10014362627

A comparison of neural networks and Bayesian MCMC for the Heston model estimation (forget statistics – machine learning is sufficient!)

Witzany, Jiří; Fičura, Milan - 2023

Persistent link: https://www.econbiz.de/10014338462

Analysis of numerical integration schemes for the Heston model : a case study based on the pricing of investment certificates

Fusaro, Michelangelo; Giribone, Pier Giuseppe; Tissone, … - In: Risk management magazine 18 (2023) 2, pp. 13-26

The Heston model is one of the most used techniques for estimating the fair value and the risk measures associated with … dynamics of the Heston model should be integrated simultaneously over time: both the one directly associated with the …

Persistent link: https://www.econbiz.de/10014383148

The EWMA Heston model

Parent, Léo - In: Quantitative finance 23 (2023) 1, pp. 71-93

Persistent link: https://www.econbiz.de/10013490955

Convex ordering for stochastic Volterra equations and their Euler schemes

Jourdain, Benjamin; Pagès, Gilles - In: Finance and stochastics 29 (2025) 1, pp. 1-62

Persistent link: https://www.econbiz.de/10015394769

On the asymptotic behavior of the optimal exercise price near expiry of an American put option under stochastic volatility

Chen, Wenting; Zhu, Song-Ping - In: Journal of Risk and Financial Management 15 (2022) 5, pp. 1-19

volatility model, such as the Heston model, has not been reported at all. Adopting the method of matched asymptotic expansions …

Persistent link: https://www.econbiz.de/10014332390