Volume 19, Issue 1 (3-2022)
jor 2022, 19(1): 37-56 |
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Samimi H, Najafi A. Portfolio Optimization under Double Heston Duffie-Kan Model and the Price Calculation of the European Option. jor 2022; 19 (1) :37-56
URL: http://jamlu.liau.ac.ir/article-1-2076-en.html
URL: http://jamlu.liau.ac.ir/article-1-2076-en.html
Department of Statistics, Faculty of Mathematical Sciences, University of Guilan, Rasht, Iran , samimi@guilan.ac.ir
Abstract: (1564 Views)
In this paper, we present a new version of the Double Heston model, where the mixed Duffie-Kan model is used to predict the volatility of the model instead of the CIR process. According to this model, we predict the stock price and calculate the European option price by using the Monte-Carlo method. Finally, by applying the proposed model, we find the optimal portfolio under the Cardinality Constraints Mean–Variance (CCMV) model and compare it with the mixed Double Houston model and show its efficiency.
Keywords: Portfolio Optimization, Mixed Double Heston Duffie- Kan Model, European Option, Monte Carlo Method
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