Results 291 to 300 of about 2,813,405 (313)
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Improving variance forecasts: The role of Realized Variance features
International Journal of Forecasting, 2022I. Papantonis +2 more
semanticscholar +1 more source
PRICING JOINT CLAIMS ON AN ASSET AND ITS REALIZED VARIANCE IN STOCHASTIC VOLATILITY MODELS
, 2012In the setting of a stochastic volatility model, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variation.
L. Torricelli
semanticscholar +1 more source
Forecasting power of infectious diseases-related uncertainty for gold realized variance
, 2021Elie Bouri +3 more
semanticscholar +1 more source
Journal of futures markets
We construct a stochastic volatility model considering stochastic liquidity risks when valuing variance and volatility swaps with discrete sampling. We base our model on Heston stochastic volatility, which is adopted for the modeling of stock prices when
Sha Lin, Xin‐Jiang He
semanticscholar +1 more source
We construct a stochastic volatility model considering stochastic liquidity risks when valuing variance and volatility swaps with discrete sampling. We base our model on Heston stochastic volatility, which is adopted for the modeling of stock prices when
Sha Lin, Xin‐Jiang He
semanticscholar +1 more source
VIX futures and its closed‐form pricing through an affine GARCH model with realized variance
, 2020Qi Wang, Zerong Wang
semanticscholar +1 more source
European Journal of Operational Research, 2017
Zhenyu Cui, J. Kirkby, D. Nguyen
semanticscholar +1 more source
Zhenyu Cui, J. Kirkby, D. Nguyen
semanticscholar +1 more source