Search Results - subject:"Heston stochastic volatility model"

Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model

Escobar, Marcos; Kschonnek, M.; Zagst, Rudi - In: Quantitative finance 23 (2023) 12, pp. 1793-1813

Persistent link: https://www.econbiz.de/10014452471

Target volatility strategies for group self-annuity portfolios

Olivieri, Annamaria; Thirurajah, Samuel; Ziveyi, Jonathan - In: ASTIN bulletin : the journal of the International … 52 (2022) 2, pp. 591-617

Persistent link: https://www.econbiz.de/10013270078

Dynamic behaviour of optimal portfolio with stochastic volatility

Zhang, Yongmin; Zhao, Yingxue - In: Economic research 34 (2021) 1,1, pp. 352-367

Persistent link: https://www.econbiz.de/10013341632

Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model

Ma, Jingtang; Li, Wenyuan; Zheng, Harry - In: European journal of operational research : EJOR 280 (2020) 2, pp. 428-440

Persistent link: https://www.econbiz.de/10012132415

A class of nonzero-sum investment and reinsurance games subject to systematic risks

Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang; … - In: Scandinavian actuarial journal (2017) 8, pp. 670-707

Persistent link: https://www.econbiz.de/10011848596

A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes

Li, Minqiang - Volkswirtschaftliche Fakultät, … - 2009

-of-the-money and long-maturity options. When applied to Heston's stochastic volatility model, our method is shown to be extremely e …

Persistent link: https://www.econbiz.de/10008459813

Calculating variable annuity liability "Greeks" using Monte Carlo simulation

Cathcart, Mark J.; Lok, Hsiao Yen; McNeil, Alexander J.; … - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 239-266

Persistent link: https://www.econbiz.de/10011312287

An unscented Kalman smoother for volatility extraction: Evidence from stock prices and options

Li, Junye - In: Computational Statistics & Data Analysis 58 (2013) C, pp. 15-26

diffusion option pricing model. Both simulation study and empirical applications with the Heston stochastic volatility model …

Persistent link: https://www.econbiz.de/10010595093

NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS

BERNARD, CAROLE; CUI, ZHENYU; MCLEISH, DON - In: International Journal of Theoretical and Applied … 15 (2012) 07, pp. 1250047-1

This paper presents a new approach to perform a nearly unbiased simulation using inversion of the characteristic function. As an application we are able to give unbiased estimates of the price of forward starting options in the Heston model and of continuously monitored Parisian options in the...

Persistent link: https://www.econbiz.de/10010595419

Nearly exact option price simulation using characteristic functions

Bernard, Carole; Cui, Zhenyu; McLeish, Don L. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-29

Persistent link: https://www.econbiz.de/10009685897