Modeling of Tehran Stock Exchange Overall Index by Heston Stochastic Differential Equation

In this study, overall index of Tehran Stock Exchange is modeled by Heston stochastic differential equations and its performance is measured. To do this, after a brief introduction of stochastic differential equations, Heston model is explained in more detail and parameters of this model based on th...

وصف كامل

التفاصيل البيبلوغرافية

الحاوية / القاعدة:	Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī
المؤلفون الرئيسيون:	Abdolsadeh Neisy, Moslem Peymany
التنسيق:	مقال
اللغة:	الفارسية
منشور في:	Allameh Tabataba'i University Press 2014-06-01
الموضوعات:	stochastic differential equations heston model fokker–planck equation gauss-hermite method value at risk
الوصول للمادة أونلاين:	https://joer.atu.ac.ir/article_472_a5312450ffaeb3062dcf5185c636aac4.pdf