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Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility [PDF]
Risks, 2020 We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary over time.
Konstantinos Gkillas +2 more
exaly +5 more sources
Multiscale Stochastic Volatility Asymptotics [PDF]
Multiscale Modeling and Simulation, 2003 In the book by \textit{J.-P. Fouqué}, \textit{G. Papanicolaou} and \textit{K. R. Sircar} [Derivatives in financial markets with stochastic volatility. Cambridge: University Press (2000; Zbl 0954.91025)] a class of models was considered where volatility is a mean-reverting diffusion with an intrinsic fast time scale.
Jean-Pierre Fouque +2 more
exaly +3 more sources
Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity [PDF]
Applied Mathematics and Computation, 2019 15PAGES
Nan-Jing Huang, Ben-Zhang Yang
exaly +5 more sources
Pricing of Pseudo-Swaps Based on Pseudo-Statistics
Risks, 2023 The main problem in pricing variance, volatility, and correlation swaps is how to determine the evolution of the stochastic processes for the underlying assets and their volatilities.
Sebastian Franco, Anatoliy Swishchuk
doaj +1 more source
Challenges of integrated variance estimation in emerging stock markets [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2019 Estimating integrated variance, using high frequency data, requires modelling experience and data crunching skills. Although intraday returns have attracted much attention in recent years, handling these data is challenging because of their ...
Josip Arnerić, Mario Matković
doaj +1 more source
Journal of Function Spaces, 2021 It has been found that the surface of implied volatility has appeared in financial market embrace volatility “Smile” and volatility “Smirk” through the long-term observation.
Yanli Zhou +3 more
doaj +1 more source
Modeling Price Dynamics and Risk Forecasting in Tehran Stock Exchange Market: Nonlinear and Non-gaussian Models of Stochastic Volatility [PDF]
تحقیقات مالی, 2023 Objective: The daily observations of the total index of the Tehran Stock Exchange show that in the last few years, stock prices have been very volatile. This volatility can harm the economic environment of Iran.
Moslem Nilchi, Daryush Farid
doaj +1 more source
Nonparametric Stochastic Volatility [PDF]
SSRN Electronic Journal, 2010 We provide nonparametric methods for stochastic volatility modeling. Our methods allow for the joint evaluation of return and volatility dynamics with nonlinear drift and diffusion functions, nonlinear leverage effects, and jumps in returns and volatility with possibly state-dependent jump intensities, among other features.
BANDI F, Renò, Roberto
openaire +3 more sources
Capturing the volatility smile: parametric volatility models versus stochastic volatility models [PDF]
Public and Municipal Finance, 2016 Black-Scholes option pricing model (1973) assumes that all option prices on the same underlying asset with the same expiration date, but different exercise prices should have the same implied volatility.
Belen Blanco
doaj +1 more source
Stochastic volatility and stochastic leverage [PDF]
Annals of Finance, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Veraart, Almut, Veraart, Luitgard A. M.
openaire +1 more source