Results 21 to 30 of about 2,168,507 (360)

The Forward Smile in Local-Stochastic Volatility Models [PDF]

SSRN Electronic Journal, 2015
We introduce an asymptotic expansion for forward start options in a multi-factor local-stochastic volatility model. We derive explicit approximation formulas for the so-called forward implied volatility which can be useful to price complex path-dependent
Andrea Mazzon, A. Pascucci
semanticscholar   +6 more sources

The Heston stochastic volatility model in Hilbert space [PDF]

arXiv, 2017
We extend the Heston stochastic volatility model to a Hilbert space framework. The tensor Heston stochastic variance process is defined as a tensor product of a Hilbert-valued Ornstein-Uhlenbeck process with itself. The volatility process is then defined by a Cholesky decomposition of the variance process.
Benth, Fred Espen, Simonsen, Iben Cathrine   +1 more
arxiv   +3 more sources

Analytical formulae for variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching

AIMS Mathematics
The CIR stochastic volatility model is modified to introduce nonlinear mean reversion, with the long-run volatility average as a random variable controlled by two parts being modeled through a Brownian motion and a Markov chain, respectively.
Xin-Jiang He, Sha Lin
doaj   +2 more sources

A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models [PDF]

Risks, 2020
We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in particular the ad hoc interpolation of the volatility surface.
Christa Cuchiero, Wahid Khosrawi, Josef Teichmann   +2 more
doaj   +2 more sources

Stock Price Dynamics and Option Valuations under Volatility Feedback Effect [PDF]

, 2012
According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect by modeling the joint dynamics of stock price, dividends, and volatility in ...
Kanniainen, Juho, Piché, Robert
arxiv   +5 more sources

Heat modulated affine stochastic volatility models for forward curve dynamics [PDF]

arXiv
We present a function-valued stochastic volatility model designed to capture the continuous-time evolution of forward curves in fixed-income or commodity markets. The dynamics of the (logarithmic) forward curves are defined by a Heath-Jarrow-Morton-Musiela stochastic partial differential equation modulated by an instantaneous volatility process that ...
Sven Karbach
arxiv   +3 more sources

An Hilbert space approach for a class of arbitrage free implied volatilities models [PDF]

arXiv, 2007
We present an Hilbert space formulation for a set of implied volatility models introduced in \cite{BraceGoldys01} in which the authors studied conditions for a family of European call options, varying the maturing time and the strike price $T$ an $K$, to be arbitrage free. The arbitrage free conditions give a system of stochastic PDEs for the evolution
Brace, A., Fabbri, G., Goldys, B.
arxiv   +4 more sources

Robust forward investment and consumption under drift and volatility uncertainties: A randomization approach [PDF]

arXiv
This paper studies robust forward investment and consumption preferences and optimal strategies for a risk-averse and ambiguity-averse agent in an incomplete financial market with drift and volatility uncertainties. We focus on non-zero volatility and constant relative risk aversion (CRRA) forward preferences. Given the non-convexity of the Hamiltonian
Wing Fung Chong, Gechun Liang
arxiv   +3 more sources

Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options [PDF]

, 2010
A quantitative analysis on the pricing of forward starting options under stochastic volatility and stochastic interest rates is performed. The main finding is that forward starting options not only depend on future smiles, but also directly on the ...
A. van Haastrecht, Antoon Pelsser
openalex   +2 more sources

Spot and Forward Volatility in Foreign Exchange [PDF]

Journal of Financial Economics, 2010
This paper investigates the empirical relation between spot and forward implied volatility in foreign exchange. We formulate and test the forward volatility unbiasedness hypothesis, which may be viewed as the volatility analogue to the extensively researched hypothesis of unbiasedness in forward exchange rates.
Pasquale Della Corte, Lucio Sarno, I. Tsiakas   +2 more
semanticscholar   +4 more sources