Essays about: "Extended Heston model"

Found 2 essays containing the words Extended Heston model.

1. 1. Implementation and evaluation of the Heston-Queue-Hawkes option pricing model

   University essay from Uppsala universitet/Sannolikhetsteori och kombinatorik

   Author : Samuel Rosén; [2023]
   Keywords : HQH; Heston Queue Hawkes; Option Pricing; jump diffusion;

   Abstract : Introduction: This thesis presents a python implementation and evaluation of the Heston-Queue-Hawkes (HQH) model, a recent jump-diffusion model for pricing options. The model is capable of tracking options for a wide range of different underlying assets. READ MORE

3. 2. Asymptotic results for American option prices under extended Heston model

   University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

   Author : Veronica Teri; [2019]
   Keywords : American options; Stochastic Volatility; Extended Heston model; Fast mean–reversion volatility; Asymptotic expansion; Average Volatility;

   Abstract : In this thesis, we consider the pricing problem of an American put option. We introduce a new market model for the evolution of the underlying asset price. Our model adds a new parameter to the well known Heston model. Hence we name our model the extended Heston model. READ MORE