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  • Search: subject:"Double Heston model"
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Year of publication
Subject
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Option pricing theory 5 Optionspreistheorie 5 Stochastic process 5 Stochastischer Prozess 5 Volatility 5 Volatilität 5 Double Heston model 4 Black-Scholes model 2 Black-Scholes-Modell 2 Calibration 2 Derivat 2 Derivative 2 Option pricing 2 Option trading 2 Optionsgeschäft 2 discrete-time models 2 double Heston model 2 stochastic volatility 2 American options 1 Asymptotic expansion 1 Black�Scholes�Merton model 1 CAPM 1 COS method 1 COVID-19 1 Closed form solution 1 Coronavirus 1 Hedging 1 Heston model 1 Modellierung 1 Monte Carlo 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Portfolio selection 1 Portfolio-Management 1 Power option 1 Scientific modelling 1 Swap 1 Variance swap 1 algorithms 1 computational financial engineering 1
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Online availability
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Undetermined 4 Free 1
Type of publication
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Article 7
Type of publication (narrower categories)
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Article in journal 5 Aufsatz in Zeitschrift 5
Language
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English 6 Undetermined 1
Author
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COSTABILE, M. 1 Costabile, M. 1 Dastranj, Elham 1 Feng, Y. 1 Guo, Shimin 1 Kim, Jeong-Hoon 1 Latifi, Roghaye 1 Liu, Jianguo 1 MASSABÒ, I. 1 Massabò, I. 1 Patrut, Bogdan 1 RUSSO, E. 1 Russo, E. 1 Socaciu, Tiberiu 1 Sun, Youfa 1 Yoon, Youngin 1 Yuan, George 1 Yuan, Steven 1 Zhang, S. M. 1
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Published in...
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International journal of financial engineering 2 BRAND. Broad Research in Accounting, Negotiation, and Distribution 1 Computational economics 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1 Quantitative finance 1
Source
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ECONIS (ZBW) 5 RePEc 2
Showing 1 - 7 of 7
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A closed form solution for pricing variance swaps under the rescaled double Heston model
Yoon, Youngin; Kim, Jeong-Hoon - In: Computational economics 61 (2023) 1, pp. 429-450
Persistent link: https://www.econbiz.de/10014228437
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Algorithm for Financial Derivatives Evaluation in Generalized Double-Heston Model
Socaciu, Tiberiu; Patrut, Bogdan - In: BRAND. Broad Research in Accounting, Negotiation, and … 1 (2010) 1, pp. 5-10
This paper shows how can be estimated the value of an option if we assume the double- Heston model on a message …
Persistent link: https://www.econbiz.de/10008619334
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American option pricing under the double Heston model based on asymptotic expansion
Zhang, S. M.; Feng, Y. - In: Quantitative finance 19 (2019) 2, pp. 211-226
Persistent link: https://www.econbiz.de/10012194649
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A comparison of option pricing models
Dastranj, Elham; Latifi, Roghaye - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-11
Persistent link: https://www.econbiz.de/10011778265
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Does model misspecification matter for hedging? : a computational finance experiment based approach
Sun, Youfa; Yuan, George; Guo, Shimin; Liu, Jianguo; … - In: International journal of financial engineering 2 (2015) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011403136
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ON PRICING CONTINGENT CLAIMS UNDER THE DOUBLE HESTON MODEL
COSTABILE, M.; MASSABÒ, I.; RUSSO, E. - In: International Journal of Theoretical and Applied … 15 (2012) 05, pp. 1250033-1
This article presents a lattice based approach for pricing contingent claims when the underlying asset evolves according to the double Heston (dH) stochastic volatility model introduced by Christoffersen et al. (2009). We discretize the continuous evolution of both squared volatilities by a...
Persistent link: https://www.econbiz.de/10011011295
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On pricing contingent claims under the double heston model
Costabile, M.; Massabò, I.; Russo, E. - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-27
Persistent link: https://www.econbiz.de/10009672610
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