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A closed-form GARCH option pricing model

Heston, Steven L.; Nandi, Saikat - 1997

Persistent link: https://www.econbiz.de/10000985996

Preference-free option pricing with path-dependent volatility : a clsosed-form approach

Heston, Steven L.; Nandi, Saikat - 1999

Persistent link: https://www.econbiz.de/10001408069

A discrete-time two-factor model for pricing bonds and interest rate derivatives under Random volatility

Heston, Steven L.; Nandi, Saikat - 1999

Persistent link: https://www.econbiz.de/10001444589

Derivatives on volatility : some simple solutions based on observables

Heston, Steven L.; Nandi, Saikat - 2000

Persistent link: https://www.econbiz.de/10001537175

Pricing and hedging index options under stochastic volatility : an empirical examiniation

Nandi, Saikat - 1996

Persistent link: https://www.econbiz.de/10000958009

News versus sentiment : predicting stock returns from news stories

Heston, Steven L.; Sinha, Nitish R. - 2016

This paper uses a dataset of more than 900,000 news stories to test whether news can predict stock returns. We measure sentiment with a proprietary Thomson-Reuters neural network. We find that daily news predicts stock returns for only 1 to 2 days, confirming previous research. Weekly news,...

Persistent link: https://www.econbiz.de/10011500414