A company is more leveraged when its stocks are going down. The debt-to-equity ratio, calculated by dividing a company's total liabilities by its shareholder equity will typically increase when stocks are lower all other things equal.
How do you plot the distribution the distribution of stock returns implied by the parameters of the Heston model ??? Thanks in advance for the answer p.s. your videos are awesome
Thank you very much for your support! I obtained the density of the stock price implied by the Heston model from European call options priced with the Heston model (with "real" probability parameters) using the Breeden-Litzenberg formula which derives the underlying return distribution from option prices. Another way to obtain the density of the stock price implied by the Heston model could be by using its characteristic function (we don't know the density but we know the characteristic function with the Heston model) and we recover the density function the Fourier inversion theorem. I will talk about it in future videos.
Hello, If you are interested to go more in depth, we propose one full course dedicated to the Heston model including applications and tutorials in Python: quant-next.com/product/the-heston-model-for-option-pricing/
This is a great video. Thank you for taking the time to explain the Heston Model in detail. Merci.
Thanks for the warm feedback!
Why is the stock more leveraged when return is down?
A company is more leveraged when its stocks are going down. The debt-to-equity ratio, calculated by dividing a company's total liabilities by its shareholder equity will typically increase when stocks are lower all other things equal.
How do you plot the distribution the distribution of stock returns implied by the parameters of the Heston model ???
Thanks in advance for the answer
p.s. your videos are awesome
Thank you very much for your support!
I obtained the density of the stock price implied by the Heston model from European call options priced with the Heston model (with "real" probability parameters) using the Breeden-Litzenberg formula which derives the underlying return distribution from option prices.
Another way to obtain the density of the stock price implied by the Heston model could be by using its characteristic function (we don't know the density but we know the characteristic function with the Heston model) and we recover the density function the Fourier inversion theorem.
I will talk about it in future videos.
Thanks
Python Code is missing.
Hello,
If you are interested to go more in depth, we propose one full course dedicated to the Heston model including applications and tutorials in Python: quant-next.com/product/the-heston-model-for-option-pricing/