Zobrazeno 1 - 10
of 2 382
pro vyhledávání: '"heston model"'
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
Publikováno v:
In Engineering Analysis with Boundary Elements 1 December 2024 169 Part A
Publikováno v:
Mathematics and Modeling in Finance, Vol 3, Iss 1, Pp 67-82 (2023)
This paper proposes a new approach to pricing European options using deep learning techniques under the Heston and Bates models of random fluctuations. The deep learning network is trained with eight input hyper-parameters and three hidden layers, an
Externí odkaz:
https://doaj.org/article/e7b43241546741999763853a278d04b2
Publikováno v:
Risk Management Magazine, Vol 18, Iss 2, Pp 13-26 (2023)
The Heston model is one of the most used techniques for estimating the fair value and the risk measures associated with investment certificates. Typically, the pricing engine implements a significant number of projections of the underlying until matu
Externí odkaz:
https://doaj.org/article/50b5f5e31a4241ecbb68a83745750a58
Autor:
Marc Mukendi Mpanda
Publikováno v:
Fractal and Fractional, Vol 8, Iss 6, p 330 (2024)
This paper introduces the fractional Heston-type (fHt) model as a stochastic system comprising the stock price process modeled by a geometric Brownian motion. In this model, the infinitesimal return volatility is characterized by the square of a sing
Externí odkaz:
https://doaj.org/article/4f7aa2eb0b1044f4b7ceeb8d1b213d68
Autor:
Nong Jingping
Publikováno v:
Applied Mathematics and Nonlinear Sciences, Vol 9, Iss 1 (2024)
This paper simulates and analyzes asset pricing based on the Gaussian model, simulates stock price paths under the Heston model, B-S model, and Gaussian model using the Monte Carlo simulation method, and compares with the real path. The difference be
Externí odkaz:
https://doaj.org/article/08bc31223b9545f4b896f8a557f8fe2f
Autor:
Yaoyuan Zhang, Lihe Wang
Publikováno v:
AIMS Mathematics, Vol 8, Iss 7, Pp 14978-14996 (2023)
In this paper a finite difference method (FDM) is provided for pricing perpetual timer options under the Heston volatility model. Considering the degeneracy of the pricing equation, we first prove the existence and uniqueness of the solution of the p
Externí odkaz:
https://doaj.org/article/286e7d559b034f94a96d0ae105948ca3
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