Results 111 to 120 of about 127,087 (242)
Inference for stochastic volatility model using time change transformations [PDF]
We address the problem of parameter estimation for diffusion driven stochastic volatility models through Markov chain Monte Carlo (MCMC). To avoid degeneracy issues we introduce an innovative reparametrisation defined through transformations that operate
Dellaportas, Petros +2 more
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Pricing VIX Derivatives in a Stochastic Volatility Model based on CBI Processes
, 2023 Markus Hess
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Frontiers in Applied Mathematics and StatisticsIn this paper, we explore the applications of fractional stochastic volatility (FSV) models within the realm of market microstructure theory and optimal execution strategies. FSV models extend traditional stochastic volatility frameworks by incorporating
Abe Webb
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The detection and estimation of long memory in stochastic volatility
, 1998 F. Jay Breidt, Nuno Crato, Pedro de Lima
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On the implied volatility of European and Asian call options under the stochastic volatility Bachelier model [PDF]
, 2023 Elisa Alòs +2 more
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EconometricsThis study introduces a multivariate extension to the class of stochastic volatility models, employing integrated nested Laplace approximations (INLA) for estimation. Bayesian methods for estimating stochastic volatility models through Markov Chain Monte
João Pedro Coli de Souza Monteneri Nacinben +1 more
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Dynamic Optimal Mean-Variance Investment with Mispricing in the Family of 4/2 Stochastic Volatility Models [PDF]
, 2021 Yumo Zhang
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Existence of solutions of some boundary value problems with stochastic volatility. [PDF]
Heliyon, 2020 Osu BO, Eze EO, Obasi UE, Ukomah HI.
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