Financial Engineering eJournal最新文献

筛选
英文 中文
Efficient Implementation of the Heston-Hull & White Model Heston-Hull & White模型的有效实施
Financial Engineering eJournal Pub Date : 1900-01-01 DOI: 10.2139/ssrn.2378955
S. Maze
{"title":"Efficient Implementation of the Heston-Hull & White Model","authors":"S. Maze","doi":"10.2139/ssrn.2378955","DOIUrl":"https://doi.org/10.2139/ssrn.2378955","url":null,"abstract":"A model with a stochastic interest rate process correlated to a stochastic volatility process is needed to accurately price long-dated contingent claims. Such a model should also price claims efficiently in order to allow for fast calibration. This dissertation explores the approximations for the characteristic function of the Heston-Hull & White model introduced by Grzelak and Oosterlee (2011). Fourier-Cosine expansion pricing is then used to price contingent claims under this model, which is implemented in MATLAB (Fang and Oosterlee, 2008). We find that the model is efficient, accurate and has a relatively simple calibration procedure. In back-tests, it is determined that the Heston-Hull & White model produces better hedging profit and loss results than a Heston (1993) or a Black and Scholes (1973) model.","PeriodicalId":129812,"journal":{"name":"Financial Engineering eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125295515","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信