Keywords: مدل هیستون; Financial markets; Heston model; Investment portfolio; The mean escape time; Returns and risks
مقالات ISI ترجمه شده مدل هیستون
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Keywords: مدل هیستون; 91G; 60H; Cauchy problem; Föllmer-Schweizer decomposition; Heston model; Option pricing; Regime switching models;
Keywords: مدل هیستون; Default risk; Option pricing; Stochastic volatility; Heston model; Multiscale;
Keywords: مدل هیستون; Variance swap; Gatheral model; Heston model; Double mean reversion; Characteristic function;
Keywords: مدل هیستون; Synchronicity; Market information; Heston model;
Keywords: مدل هیستون; 60G22; 97M30; Heston model; Mixed fractional Brownian motion; Euler discretization method; American option;
Keywords: مدل هیستون; VIX options; VIX futures; Heston model; Stochastic volatility; Jump-diffusion; Displacement; G12; G13;
Keywords: مدل هیستون; Pricing; Heston model; Model calibration; Optimisation; Levenberg-Marquardt method;
Keywords: مدل هیستون; Financial market; Heston model; Herd behavior; Mean residence time; Econophysics;
Keywords: مدل هیستون; Volatility swaps; Heston model; Stochastic volatility; Characteristic function
Keywords: مدل هیستون; Numerical solutions of stochastic differential equations; Milstein method; Stochastic Runge-Kutta method; Heston model; 3-dimensional matrix norm; Impression matrix norm;
Keywords: مدل هیستون; Delay time; Heston model; Financial markets; Mean escape time; Recycled noise
Keywords: مدل هیستون; Variance swaps; Heston model; Characteristic function; Stochastic volatility
Keywords: مدل هیستون; Heston model; CIR; Weak approximations; Split-step approximations; Option pricing
Keywords: مدل هیستون; Optimal reinsurance; Optimal investment; Default risk; Hamilton-Jacobi-Bellman equation; Heston model;
Keywords: مدل هیستون; Financial markets; Heston model; Equity portfolio;
Keywords: مدل هیستون; European compound option; Heston model; Computational techniques; Parallel computing;
Keywords: مدل هیستون; Heston Model simulations; Heston Model; Business Intelligence as a Service (BIaaS); Calibration; APIs for stock index; Visualisation in the cloud; SaaS in the private cloud
Keywords: مدل هیستون; Financial markets; Heston model; Time delay; Correlated noises; The mean escape time;
Keywords: مدل هیستون; Excess-of-loss reinsurance; Heston model; Jump-diffusion risk model; Hamilton-Jacobi-Bellman (HJB) equation; Investment; Stochastic volatility;
Keywords: مدل هیستون; Fractional stochastic volatility model; Heston model; Option pricing; Calibration; Optimization
The Heston stochastic volatility model with piecewise constant parameters -Â efficient calibration and pricing of window barrier options
Keywords: مدل هیستون; Heston model; Characteristic function; Window barrier options;
VIX-linked fees for GMWBs via explicit solution simulation methods
Keywords: مدل هیستون; Variable annuities; Stochastic differential equation; Explicit solution; Monte Carlo simulation; Heston model;
The use of power numeraires in option pricing
Keywords: مدل هیستون; COS method; Change of numeraire; Barrier options; Heston model;
3D extreme value analysis for stock return, interest rate and speed of mean reversion
Keywords: مدل هیستون; 3D extreme value analysis; Fat-tails; High-peaks; Numerical solutions of stochastic differential equations; Heston model; Comovement
Parametric models and non-parametric machine learning models for predicting option prices: Empirical comparison study over KOSPI 200 Index options
Keywords: مدل هیستون; Option pricing; Gaussian processes; Support vector machines; Artificial neural network; Black–Scholes model; Heston model; Merton model
Option prices under stochastic volatility
Keywords: مدل هیستون; Option pricing; Stochastic volatility; Heston model
Option pricing in incomplete markets
Keywords: مدل هیستون; Option pricing; Stochastic volatility; Heston model; Incomplete markets; Exponential utility function
The risks and returns of stock investment in a financial market
Keywords: مدل هیستون; Financial market; Heston model; Time delay; The mean escape time; Stock price returns
A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility
Keywords: مدل هیستون; Variance swaps; Heston model; Closed-form exact solution; Explicit formula; Stochastic volatility;
Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling
Keywords: مدل هیستون; Accelerated sequential importance sampling; Heston model; Laplace importance sampler; Simulated maximum likelihood; Stochastic volatility
On the valuation of variance swaps with stochastic volatility
Keywords: مدل هیستون; Variance swaps; Heston model; Explicit formulae; Stochastic volatility
Valuation of power options under Heston's stochastic volatility model
Keywords: مدل هیستون; Power option; Stochastic volatility; Heston model; Change of numeraire; Fourier transform; C02; G13;
A spectral-collocation method for pricing perpetual American puts with stochastic volatility
Keywords: مدل هیستون; Spectral-collocation method; Perpetual American put options; Heston model
A predictor–corrector scheme based on the ADI method for pricing American puts with stochastic volatility
Keywords: مدل هیستون; ADI scheme; Stability analysis; American put options; Heston model
A new analytical approximation for European puts with stochastic volatility
Keywords: مدل هیستون; Singular perturbation; European put options; Heston model
Stochastic volatility of financial markets as the fluctuating rate of trading: An empirical study
Keywords: مدل هیستون; Stock market; Stochastic volatility; Subordination; Heston model
Hitting time distributions in financial markets
Keywords: مدل هیستون; Econophysics; Stock market model; Langevin-type equation; Heston model; Complex systems
Likelihood-based inference for a class of multivariate diffusions with unobserved paths
Keywords: مدل هیستون; 62M99; 60J60; 91B84Data augmentation; Markov chain Monte Carlo; Stochastic volatility; Heston model
A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model
Keywords: مدل هیستون; G13; C63; Stochastic volatility; Heston model; Path-dependent options; Monte Carlo integration;
Maximum likelihood estimation of stochastic volatility models
Keywords: مدل هیستون; G12; C22Closed-form likelihood expansions; Volatility proxies; Heston model; GARCH model; CEV model
The importance of jumps in pricing European options
Keywords: مدل هیستون; Option pricing; Heston model; Jump process; Sensitivity analysis; Morris method; Variance-based sensitivity indices
Underlying dynamics of typical fluctuations of an emerging market price index: The Heston model from minutes to months
Keywords: مدل هیستون; Econophysics; Stochastic volatility; Heston model; High-frequency finance