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Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
(Routledge, 2018)
A parsimonious generalization of the Heston model is proposed where the volatility-of-volatility is assumed to be stochastic. We follow the perturbation technique of Fouque et al [Multiscale Stochastic Volatility for Equity, ...
Underlying dynamics of typical fluctuations of an emerging market price index: the Heston model from minutes to months
(Elsevier B.V., 2006-02-15)
We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for ...
Underlying dynamics of typical fluctuations of an emerging market price index: the Heston model from minutes to months
(Elsevier B.V., 2006-02-15)
We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for ...
On the numerical methods for the Heston model
(2017-09-29)
In this thesis we revisit numerical methods for the simulation of the Heston model’sEuropean call. Specifically, we study the Euler, the Kahl-Jackel an two versions of theexact algorithm schemes. To perform this task, ...
Heston Model Calibration in the Brazilian Foreign Exchange (FX) Options MarketCalibração do modelo de Heston para o mercado brasileiro de opções de câmbio (FX)
(Lociedade Brasileira de Finanças, 2004)
Valoración de opciones para el mercado agropecuario colombiano, el modelo de Heston-Nandi como alternativa
(Universidad EAFITMaestría en FinanzasEscuela de Economía y Finanzas, 2007)
There are random factors in the process leading to commodities’ price formation. Such factors are manifest in the behavior of volatility. Volatility is a source of uncertainty for any market. Options on commodities are a ...
A neural network approach to pricing of a European Call Option with the Heston model
In this thesis, we implement deep learning to option pricing. A data-driven approach is proposed, through an Artificial Neural Network (ANN), to calculate the price of European call options with the Heston stochastic ...
Construção de superfície de volatilidade para o mercado brasileiro de opções de dólar baseado no modelo de volatilidade estocástica de Heston
(2011-02-11)
Nos últimos anos, o mercado brasileiro de opções apresentou um forte crescimento, principalmente com o aparecimento da figura dos High Frequency Traders (HFT) em busca de oportunidades de arbitragem, de modo que a escolha ...