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pro vyhledávání: '"heston model"'
Autor:
Jaber, Eduardo Abi
We introduce a simple, efficient and accurate nonnegative preserving numerical scheme for simulating the square-root process. The novel idea is to simulate the integrated square-root process first instead of the square-root process itself. Numerical
Externí odkaz:
http://arxiv.org/abs/2412.11264
We use modifications of the Adams method and very fast and accurate sinh-acceleration method of the Fourier inversion (iFT) (S.Boyarchenko and Levendorski\u{i}, IJTAF 2019, v.22) to evaluate prices of vanilla options; for options of moderate and long
Externí odkaz:
http://arxiv.org/abs/2412.16067
Autor:
Cao, Zheng, Lin, Xinhao
This study focuses on the application of the Heston model to option pricing, employing both theoretical derivations and empirical validations. The Heston model, known for its ability to incorporate stochastic volatility, is derived and analyzed to ev
Externí odkaz:
http://arxiv.org/abs/2409.12453
Autor:
Park, Jihyun, Sarantsev, Andrey
We model time series of VIX (monthly average) and monthly stock index returns. We use log-Heston model: logarithm of VIX is modeled as an autoregression of order 1. Our main insight is that normalizing monthly stock index returns (dividing them by VI
Externí odkaz:
http://arxiv.org/abs/2410.22471
Publikováno v:
In Engineering Analysis with Boundary Elements 1 December 2024 169 Part A
We propose a gradient-based deep learning framework to calibrate the Heston option pricing model (Heston, 1993). Our neural network, henceforth deep differential network (DDN), learns both the Heston pricing formula for plain-vanilla options and the
Externí odkaz:
http://arxiv.org/abs/2407.15536
Akademický článek
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Akademický článek
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Autor:
Aichinger, Florian, Desmettre, Sascha
Geometric Asian options are a type of options where the payoff depends on the geometric mean of the underlying asset over a certain period of time. This paper is concerned with the pricing of such options for the class of Volterra-Heston models, cove
Externí odkaz:
http://arxiv.org/abs/2402.15828
Autor:
Azadeh Ghasemifard, Ali Valinejad
Publikováno v:
Mathematics and Modeling in Finance, Vol 4, Iss 1, Pp 57-66 (2024)
In this article, we discuss the numerical implementation of the Multilevel Monte-Carlo (MLMC) scheme for option pricing within the Heston asset model. The Heston model is a stochastic volatility model that captures the dynamics of the underlying asse
Externí odkaz:
https://doaj.org/article/5f26f1dd1c7542feaf04d260d684be76