Results 91 to 100 of about 127,087 (242)

Geometric Asian Options Pricing under the Double Heston Stochastic Volatility Model with Stochastic Interest Rate

Complexity, 2019
This paper presents an extension of double Heston stochastic volatility model by incorporating stochastic interest rates and derives explicit solutions for the prices of the continuously monitored fixed and floating strike geometric Asian options.
Yanhong Zhong, Guohe Deng
doaj   +1 more source

Dynamic shrinkage in time-varying parameter stochastic volatility in mean models. [PDF]

J Appl Econ (Chichester Engl), 2021
Huber F, Pfarrhofer M.
europepmc   +1 more source

A Stochastic Dynamic Programming Approach Based on Bounded Rationality and Application to Dynamic Portfolio Choice

Discrete Dynamics in Nature and Society, 2014
Dynamic portfolio choice is an important problem in finance, but the optimal strategy analysis is difficult when considering multiple stochastic volatility variables such as the stock price, interest rate, and income.
Wenjie Bi, Liuqing Tian, Haiying Liu, Xiaohong Chen   +3 more
doaj   +1 more source

Bayesian Markov Chain Monte Carlo for reparameterized Stochastic volatility models using Asian FX rates during Covid-19. [PDF]

J Appl Stat, 2023
Poonvoralak W.
europepmc   +1 more source

Indirect inference for stochastic volatility models via the log-squared observations. [PDF]

Model; Models; Stochastic volatility; Volatility;
Dhaene, Geert
core  

Investigating Stochastic Volatility during Periods of Financial Distress: Evidence from International Financial Markets [PDF]

, 2023
Samuel Tabot Enow
openalex   +1 more source

BVARs and stochastic volatility

Bayesian vector autoregressions (BVARs) are the workhorse in macroeconomic forecasting. Research in the last decade has established the importance of allowing time-varying volatility to capture both secular and cyclical variations in macroeconomic uncertainty.
openaire   +2 more sources

A Locally Both Leptokurtic and Fat-Tailed Distribution with Application in a Bayesian Stochastic Volatility Model. [PDF]

Entropy (Basel), 2021
Lenart Ł, Pajor A, Kwiatkowski Ł.
europepmc   +1 more source

Pricing vanilla, barrier, and lookback options under two-scale stochastic volatility driven by two approximate fractional Brownian motions

AIMS Mathematics
In this paper, we proposed a stochastic volatility model in which the volatility was given by stochastic processes representing two characteristic time scales of variation driven by approximate fractional Brownian motions with two Hurst exponents.
Min-Ku Lee, Jeong-Hoon Kim
doaj   +1 more source

Vanilla Option Pricing on Stochastic Volatility market models [PDF]

We want to discuss the option pricing on stochastic volatility market models, in which we are going to consider a generic function β (νt ) for the drift of volatility process.
Dell'Era, Mario
core   +1 more source