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Heston model
Known as:
Heston (disambiguation)
In finance, the Heston model, named after Steven Heston, is a mathematical model describing the evolution of the volatility of an underlying asset…
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Related topics
Related topics
5 relations
Chen model
Cox–Ingersoll–Ross model
Mathematical model
Monte Carlo methods for option pricing
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Papers overview
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2018
2018
Fourier-Cosine Method for Pricing and Hedging Insurance Derivatives
Ludovic Goudenège
,
Andrea Molent
,
Xiao Wei
,
Antonino Zanette
2018
Corpus ID: 145026440
We introduce the Fourier-Cosine method for pricing and hedging insurance derivatives. We implement this method for a particular…
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2017
2017
Pricing floating strike lookback put option under heston stochastic volatility
Teferi Dereje Wirtu
,
P. Ngare
,
A. Kube
2017
Corpus ID: 165159911
The pricing problems of the exotic options in the finance do not have the analytic solutions under stochastic volatility and so…
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2016
2016
Discrete duality finite volume scheme for solving Heston model
A. Handlovicová
2016
Corpus ID: 123334094
New numerical scheme for tensor diffusion equation based on discrete duality finite volume (DDFV) method is derived. Tensor…
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2015
2015
Implementation of Heston-Nandi GARCH model on OMXS30
Oscar Sjögren
,
J. Ekström
2015
Corpus ID: 153452224
This paper evaluates the performance of Heston and Nandi’s closed form option pricing model (2000) on the OMXS30 (Swedish stock…
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2014
2014
The pricing of Asian commodity options
2014
Corpus ID: 189859618
2014
2014
A closed-form option pricing approximation formula for a fractional Heston model
E. Alòs
,
Yan Yang
2014
Corpus ID: 55534099
We present a method to develop simple option pricing approximation formulas for a fractional Heston model, where the volatility…
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2012
2012
Chapter 3 Efficient Implementation of the Heston Model Using GPGPU
E. Atanassov
,
D. Dimitrov
,
S. Ivanovska
2012
Corpus ID: 63318425
The Heston stochastic volatility model is widely used for modeling of option prices in financial markets. By adding a jump…
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2010
2010
Applications of Evolutionary Computation, EvoApplications 2010: EvoCOMNET, EvoENVIRONMENT, EvoFIN, EvoMUSART, and EvoTRANSLOG, Istanbul, Turkey, April 7-9, 2010, Proceedings, Part II
EvoApplications
2010
Corpus ID: 35418166
2009
2009
1 Understanding growth in Europe , 1700 – 1870 : theory and evidence
Joel Mokyr
,
H. Voth
2009
Corpus ID: 92984546
2007
2007
Convexity of option prices in the Heston model
Jian Wang
2007
Corpus ID: 14839976
The Heston model is a stochastic volatility model. We show that the option price in the Heston model is convex in the underlying…
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