Application of the heston and hull–white models to german dax data

DOI10.1080/14697680500040256zbMath1405.91722OpenAlexW2051509737MaRDI QIDQ4610279

Reinhard Mahnke, Ralf Remer

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680500040256

zbMATH Keywords

Heston modelHull-White modelstock price dynamics

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Financial applications of other theories (91G80)

Related Items (1)

Unnamed Item

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Volatility in financial markets: Stochastic models and empirical results
• Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes
• What good is a volatility model?
• Probability distribution of returns in the Heston model with stochastic volatility*
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Brownian Motion in the Stock Market
• Price fluctuations and market activity

This page was built for publication: Application of the heston and hull–white models to german dax data