Regime switching rough Heston model
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DOI: 10.1002/fut.21993
Abstract: This model combines two important stylized features of volatility, the rough behavior consistent with a Hurst parameter less than 0.5, and the regime switching property consistent with more long‐term economic considerations. It is nevertheless highly… read more here.
Keywords: rough heston; heston model; model; switching rough ... See more keywords
Moment explosions in the rough Heston model
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DOI: 10.1007/s10203-019-00267-6
Abstract: We show that the moment explosion time in the rough Heston model, introduced by El Euch and Rosenbaum in 2016, is finite if and only if it is finite for the classical Heston model. Upper… read more here.
Keywords: rough heston; explosion time; moment; heston model ... See more keywords
An Analytic Approximation for Valuation of the American Option Under the Heston Model in Two Regimes
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DOI: 10.1007/s10614-019-09939-2
Abstract: This paper studies the valuation of the American call-option under the Heston model in two regimes, i.e., fast-mean reverting and slow-mean reverting regimes. In the case of the European-style option under the Heston model, a… read more here.
Keywords: valuation american; option heston; option; heston model ... See more keywords
A Closed Form Solution for Pricing Variance Swaps Under the Rescaled Double Heston Model
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DOI: 10.1007/s10614-021-10214-6
Abstract: As is well known, multi-factor stochastic volatility models are necessary to capture the market accurately in pricing financial derivatives. However, the multi-factor models usually require too many parameters to be calibrated efficiently and they do… read more here.
Keywords: closed form; variance swaps; heston model; double heston ... See more keywords
Parameter Estimations of Heston Model Based on Consistent Extended Kalman Filter
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DOI: 10.1016/j.ifacol.2017.08.1850
Abstract: Abstract Heston model is widely applied to financial institutions, while there still exist difficulties in estimating the parameters and volatilities of this model. In this paper, the pseudo-Maximum Likelihood Estimation and consistent extended Kalman filter… read more here.
Keywords: consistent extended; kalman filter; model; extended kalman ... See more keywords
Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
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DOI: 10.1016/j.jspi.2018.02.002
Abstract: We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations of the price process together with its jump part. We prove strong consistency and… read more here.
Keywords: maximum likelihood; heston model; likelihood estimators; jump type ... See more keywords
Optimal dynamic mean-variance asset-liability management under the Heston model
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DOI: 10.1186/s13662-018-1677-9
Abstract: This paper studies a continuous-time mean-variance asset-liability management problem under the Heston model. Specifically, an asset-liability manager is allowed to invest in a risk-free asset and a risky asset whose price process is governed by… read more here.
Keywords: mean variance; asset liability; heston model; asset ... See more keywords