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Heston模型下基于期权投资的鲁棒最优控制
Heston模型 模糊风险厌恶 期权 鲁棒最优投资策略
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2022/3/16
针对Heston随机波动率模型下的鲁棒最优投资问题，构建了带期权投资的资产负债管理模型。投资者的目标是最大化终端时刻净财富的幂效用，利用随机最优控制方法，分别获得了带期权投资以及无期权投资两种情形下鲁棒最优投资策略、最坏概率测度及值函数的解析表达式，通过数值模拟发现考虑模型的鲁棒性以及进行期权投资能够改进投资者的效用。
A note on essential smoothness in the Heston model
Essential smoothness large deviation principle Heston model
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2011/10/9
Abstract: This note studies an issue relating to essential smoothness that can arise when the theory of large deviations is applied to a certain option pricing formula in the Heston model. The note id...
Convergence of Heston to SVI
Heston SVI large-time asymptotic
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2010/4/27
In this short note, we prove by an appropriate change of variables that the SVI implied volatility parameterization presented in Gatheral's book and the large-time asymptotic of the Heston implied vol...
On refined volatility smile expansion in the Heston model
smile expansion Heston model
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2010/4/27
It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment $s^{*}$ can be obtained by solving (numerically) a simple equation. This yields a leading ...