Essays about: "Heston model"

Showing result 1 - 5 of 24 essays containing the words Heston model.

  1. 1. Deep Learning and the Heston Model:Calibration & Hedging

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Oliver Klingberg Malmer; Victor Tisell; [2020-07-03]
    Keywords : deep learning; deep hedging; deep calibration; option pricing; stochastic volatilty; Heston model; S P 500 index options; incomplete markets; transaction costs;

    Abstract : The computational speedup of computers has been one of the de ning characteristicsof the 21st century. This has enabled very complex numerical methods for solving existingproblems. As a result, one area that has seen an extraordinary rise in popularity over the lastdecade is what is called deep learning. READ MORE

  2. 2. Implied volatility expansion under the generalized Heston model

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

    Author : Hanna Andersson; Ying Wang; [2020]
    Keywords : Heston model; Generalized Heston model; implied volatility; implied volatility expansion; Black–Scholes; Monte Carlo method; European options;

    Abstract : In this thesis, we derive a closed-form approximation to the implied volatility for a European option, assuming that the underlying asset follows the generalized Heston model. A new para- meter is added to the Heston model which constructed the generalized Heston model. READ MORE

  3. 3. American option prices and optimal exercise boundaries under Heston Model–A Least-Square Monte Carlo approach

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

    Author : Omar Mohammad; Rafi Khaliqi; [2020]
    Keywords : options; pricing; american; Monte-Carlo; Least square; heston model; stochastic; volatility; early exercise boundary volatility;

    Abstract : Pricing American options has always been problematic due to its early exercise characteristic. As no closed-form analytical solution for any of the widely used models exists, many numerical approximation methods have been proposed and studied. READ MORE

  4. 4. Option pricing models: A comparison between models with constant and stochastic volatilities as well as discontinuity jumps

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik; Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Carl Paulin; Maja Lindström; [2020]
    Keywords : Financial mathematics; option pricing; calibration; options; parameter calibration; Black Scholes Merton model; Heston model; Bates model; Merton jump diffusion model; Black Scholes;

    Abstract : The purpose of this thesis is to compare option pricing models. We have investigated the constant volatility models Black-Scholes-Merton (BSM) and Merton’s Jump Diffusion (MJD) as well as the stochastic volatility models Heston and Bates. READ MORE

  5. 5. A Utility Approach: Strategy Analysis and Optimization

    University essay from Lunds universitet/Matematisk statistik

    Author : Magnús Ólafur Sigurdsson; [2019]
    Keywords : Utility optimization; Portfolio analysis; Dynamic programming; Bellman equation.; Technology and Engineering;

    Abstract : Utility theory and Monte Carlo simulations are used to calculate optimal allocation for long term as well as, risk averse investors with a portfolio consisting of one risky asset and one risk-free bank account. The problems solved in this thesis are divided into two types, static and dynamic. READ MORE