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The Heston stochastic volatility model for single assets and for asset portfolios: parameter estimation and an application to the Italian financial market

Ballestra, Luca Vincenzo; Ferri, Roberto; Pacelli, Graziella - In: The international journal of business and finance … 1 (2007) 2, pp. 11-23

Persistent link: https://www.econbiz.de/10003955535

A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model

Ballestra, Luca Vincenzo; Pacelli, Graziella; Zirilli, … - In: Journal of banking & finance 31 (2007) 11, pp. 3420-3437

Persistent link: https://www.econbiz.de/10003577417

The Heston Stochastic Volatility Model for Single Assets and for Asset Portfolios : Parameter Estimation and an Application to the Italian Financial Market

Ballestra, Luca Vincenzo - 2010

We investigate the performance of the Heston stochastic volatility model in describing the probability distribution of returns both in the case of single assets and in the case of asset portfolios. The R. parameters of the Heston model are estimated from observed market prices using a simple...

Persistent link: https://www.econbiz.de/10013148476

Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices : an application of nonlinear filtering theory

Mariani, Francesca; Pacelli, Graziella; Zirilli, Francesco - In: Optimization letters 2 (2008) 2, pp. 177-222

Persistent link: https://www.econbiz.de/10003687162

Pricing American options under the constant elasticity of variance model : an extension of the method by Barone-Adesi and Whaley

Ballestra, Luca Vincenzo; Cecere, Liliana - In: Finance research letters 14 (2015), pp. 45-55

Persistent link: https://www.econbiz.de/10011552594

Forecasting and trading on the VIX futures market : a neural network approach based on open to close returns and coincident indicators

Ballestra, Luca Vincenzo; Guizzardi, Andrea; Palladini, … - In: International journal of forecasting 35 (2019) 4, pp. 1250-1262

Persistent link: https://www.econbiz.de/10012305272

A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options

Ballestra, Luca Vincenzo; D'Innocenzo, Enzo; Guizzardi, … - In: European journal of operational research : EJOR 314 (2024) 3, pp. 1185-1194

Persistent link: https://www.econbiz.de/10014456945

Score-driven modeling with jumps : an application to S&P500 returns and options

Ballestra, Luca Vincenzo; D'Innocenzo, Enzo; Guizzardi, … - In: Journal of financial econometrics 22 (2024) 2, pp. 375-406

Persistent link: https://www.econbiz.de/10014526331