Pages that link to "Item:Q2856405"

The following pages link to The Heston model and its extensions in Matlab and C\#. With a foreword by Steven L. Heston (Q2856405):

Displaying 35 items.

• On calibration of stochastic and fractional stochastic volatility models (Q323465) (← links)
• Distance to the line in the Heston model (Q511233) (← links)
• The Heston stochastic volatility model with piecewise constant parameters -- efficient calibration and pricing of window barrier options (Q1643855) (← links)
• A scaled version of the double-mean-reverting model for VIX derivatives (Q1670389) (← links)
• Full and fast calibration of the Heston stochastic volatility model (Q1694942) (← links)
• On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option (Q1713193) (← links)
• Modeling asset price under two-factor Heston model with jumps (Q1792238) (← links)
• Solution of option pricing equations using orthogonal polynomial expansion. (Q1984560) (← links)
• Pricing generalized variance swaps under the Heston model with stochastic interest rates (Q1997863) (← links)
• Pricing European call options under a hard-to-borrow stock model (Q2009590) (← links)
• Change of drift in one-dimensional diffusions (Q2022766) (← links)
• A new simple tree approach for the Heston's stochastic volatility model (Q2203258) (← links)
• Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model'' (Q2243260) (← links)
• Calibration and simulation of Heston model (Q2364763) (← links)
• An exploration of a balanced up-downwind scheme for solving Heston volatility model equations on variable grids (Q2632499) (← links)
• Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model (Q2661015) (← links)
• A cumulant approach for the first-passage-time problem of the Feller square-root process (Q2661059) (← links)
• Derivatives of feed-forward neural networks and their application in real-time market risk management (Q2676274) (← links)
• Pricing Options with Hybrid Stochastic Volatility Models (Q2958817) (← links)
• Pricing American call options under a hard-to-borrow stock model (Q4575290) (← links)
• Pricing pension buy-outs under stochastic interest and mortality rates (Q4585941) (← links)
• A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility (Q4628041) (← links)
• PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE (Q5051186) (← links)
• On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions (Q5055127) (← links)
• Pricing multi-asset American option under Heston-CIR diffusion model with jumps (Q5082773) (← links)
• PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY (Q5112593) (← links)
• Portfolio Optimization in Fractional and Rough Heston Models (Q5112724) (← links)
• Model-driven statistical arbitrage on LETF option markets (Q5212060) (← links)
• Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps (Q5220943) (← links)
• VOLATILITY INFERENCE AND RETURN DEPENDENCIES IN STOCHASTIC VOLATILITY MODELS (Q5377003) (← links)
• Models with Uncertain Volatility (Q6153044) (← links)
• INFORMATION-THEORETIC ANALYSIS OF STOCHASTIC VOLATILITY MODELS (Q6203301) (← links)
• Commodity Asian option pricing and simulation in a 4-factor model with jump clusters (Q6549599) (← links)
• Short time behavior of the ATM implied skew in the ADO-Heston model (Q6581627) (← links)
• Deep Gaussian Process Emulation using Stochastic Imputation (Q6631122) (← links)