Weighted average price in the Heston stochastic volatility model

Papi, Marco; Pontecorvi, Luca; Donatucci, C.

doi:10.1007/s10203-017-0197-5

Cited by 1 publication

(2 citation statements)

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“…The Black-Scholes model has been introduced based on the geometric Brownian motion to providing a closed-form pricing formula for the European options and describing the behavior of underlying asset prices [1][2][3]. The assumptions of the Black-Scholes model are unrealistic due to its inability to generate volatility satisfying the market observations, being nonnegative and mean-reverting [4][5][6].…”

Section: Introductionmentioning

confidence: 99%

“…To overcome this limitation, in 1993, Heston suggested Heston's stochastic volatility (HSV) model [6]. The HSV model has been extended in finance for modeling the dynamics of implied volatilities and providing their user with simple breakeven accounting conditions for the profit and loss (S&P) of a hedged position [2,[7][8][9][10][11][12][13][14][15][16][17]].…”

Section: Introductionmentioning

confidence: 99%

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Computational technique for simulating variable-order fractional Heston model with application in US stock market

2018

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In this paper, a numerical technique is developed to discretize variable-order fractional Heston differential equation. The proposed strategy is followed by an optimization technology, genetic algorithm, for tuning the unknown parameters in the proposed model. The performance of the model is analyzed to profit and loss 500 close index from the US stock markets. Simulations illustrate the application of the proposed technique.

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