Fitting the Heston Stochastic Volatility Model to Chinese Stocks
نویسندگان
چکیده
منابع مشابه
A Fast Mean-reverting Correction to Heston Stochastic Volatility Model
We propose a multi-scale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertubative expansion is then used to obtain an approximation for European option prices. The resulting pricing formulas are semi-analytic, in the sense that they can be expressed as integrals. Difficulties associated with...
متن کاملGamma expansion of the Heston stochastic volatility model
We derive an explicit representation of the transitions of the Heston stochastic volatility model and use it for fast and accurate simulation of the model. Of particular interest is the integral of the variance process over an interval, conditional on the level of the variance at the endpoints. We give an explicit representation of this quantity in terms of infinite sums and mixtures of gamma r...
متن کاملFull and fast calibration of the Heston stochastic volatility model
This paper presents an algorithm for a complete and efficient calibration of the Heston stochastic volatility model. We express the calibration as a nonlinear least-squares problem. We exploit a suitable representation of the Heston characteristic function and modify it to avoid discontinuities caused by branch switchings of complex functions. Using this representation, we obtain the analytical...
متن کاملEfficient Simulation of the Heston Stochastic Volatility Model
Stochastic volatility models are increasingly important in practical derivatives pricing applications, yet relatively little work has been undertaken in the development of practical Monte Carlo simulation methods for this class of models. This paper considers several new algorithms for time-discretization and Monte Carlo simulation of Heston-type stochastic volatility models. The algorithms are...
متن کاملBayesian Estimation of the Heston Stochastic Volatility Model
The goal of this article is an exact Bayesian analysis of the Heston (1993) stochastic volatility model. We carefully study the affect different parameterizations of the latent volatility process and the parameters of the volatility process have on the convergence and the mixing behavior of the sampler. We apply the sampler to simulated data and to some DM/US$ exchange rate data.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Finance and Banking
سال: 2014
ISSN: 2374-2089
DOI: 10.5296/ifb.v1i1.5571