Results 101 to 110 of about 127,087 (242)

Target-based investment for long-term investors under stochastic volatility

, 2023
Li Yang
openalex   +1 more source

Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary [PDF]

This paper presents a new numerical method for pricing American call options when the volatility of the price of the underlying stock is stochastic.
Elias Tzavalis, Shijun Wang
core  

"Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors" [PDF]

An efficient Bayesian estimation using a Markov chain Monte Carlo method is proposed in the case of a multivariate stochastic volatility model as a natural extension of the univariate stochastic volatility model with leverage and heavy-tailed errors ...
Tsunehiro Ishihara, Yasuhiro Omori
core   +3 more sources

Estimation of the Cholesky Multivariate Stochastic Volatility Model Using Iterated Filtering

Ekonometria
Aim: The paper aims to propose a new estimation method for the Cholesky Multivariate Stochastic Volatility Model based on the iterated filtering algorithm (Ionides et al., 2006, 2015).
Piotr Szczepocki
doaj  

Systematics of Advanced Capital Market Models based on Empirical Research [PDF]

The complex blue prints of ODE and PDE based capital market models remain closed to systematic review. Particularly, when some authors of mathematical models can not or may not offer explicit solutions.
Gerhard Schroeder
core  

On the Optimal Choice of Strike Conventions in Exchange Option Pricing

Mathematics
An important but rarely-addressed option pricing question is how to choose appropriate strikes for implied volatility inputs when pricing more exotic multi-asset derivatives.
Elisa Alòs, Michael Coulon
doaj   +1 more source

Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation [PDF]

We extend the credit risk valuation framework introduced by Gatfaoui (2003) to stochastic volatility models. We state a general setting for valuing risky debt in the light of systematic risk and idiosyncratic risk, which are known to affect each risky ...
Gatfaoui Hayette
core  

An extension of Heston's SV model to Stochastic Interest Rates

, 2018
In 'A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options', Heston proposes a Stochastic Volatility (SV) model with constant interest rate and derives a semi-explicit valuation formula.
de Frutos, Javier, Gaton, Victor
core  

A New Scheme for Static Hedging of European Derivatives under Stochastic Volatility Models ( Revised in June 2008, Published in "Journal of Futures Markets", Vol.29-5, 397-413, 2009. ) [PDF]

This paper proposes a new scheme for static hedging of European path-independent derivatives under stochastic volatility models. First, we show that pricing European path-independent derivatives under stochastic volatility models is transformed to ...
Akihiko Takahashi, Akira Yamazaki
core  

A JUMP-DIFFUSION WITH STOCHASTIC VOLATILITY AND INTEREST RATE [PDF]

, 2013
Peeraparp
openalex   +1 more source