Test data sets for calibration of stochastic and fractional stochastic volatility models [PDF]
Data in Brief, 2016 Data for calibration and out-of-sample error testing of option pricing models are provided alongside data obtained from optimization procedures in ''On calibration of stochastic and fractional stochastic volatility models'' [1].
Jan Pospíšil, Tomáš Sobotka
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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
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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
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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
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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
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Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility
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.
Moawia Alghalith +2 more
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Quadrinomial trees with stochastic volatility to value real options [PDF]
Journal of Economics Finance and Administrative Science, 2021 Purpose – The purpose of this article is to propose a detailed methodology to estimate, model and incorporate the non-constant volatility onto a numerical tree scheme, to evaluate a real option, using a quadrinomial multiplicative recombination.
Freddy H. Marín-Sánchez +2 more
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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
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Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter
Econometrics, 2023 Despite the growing interest in realized stochastic volatility models, their estimation techniques, such as simulated maximum likelihood (SML), are computationally intensive.
Manabu Asai
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Estimating the parameters of 3/2 stochastic volatility model with jump [PDF]
Mathematics and Modeling in Finance, 2023 The financial markets reveal stylized facts that could not be captured by Black-Scholes partial differential equations (PDEs). In this research, we investigate 3/2 stochastic volatility to pricing options which is more compatible with the interpretation
Ali Safdari-Vaighani, Pooya Garshasebi
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