A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models [PDF]
Risks, 2020 We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in particular the ad hoc interpolation of the volatility surface.
Christa Cuchiero +2 more
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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
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
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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
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
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Forecasting the Volatility of the Cryptocurrency Market by GARCH and Stochastic Volatility
Mathematics, 2021 This study examines the volatility of nine leading cryptocurrencies by market capitalization—Bitcoin, XRP, Ethereum, Bitcoin Cash, Stellar, Litecoin, TRON, Cardano, and IOTA-by using a Bayesian Stochastic Volatility (SV) model and several GARCH models ...
Jong-Min Kim, Chulhee Jun, Junyoup Lee
semanticscholar +1 more source
The time-varying asymmetry of exchange rate returns : a stochastic volatility - stochastic skewness model [PDF]
, 2020 While the time-varying volatility of financial returns has been extensively modelled, most existing stochastic volatility models either assume a constant degree of return shock asymmetry or impose symmetric model innovations. However, accounting for time-
Iseringhausen, Martin
core +1 more source
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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Stochastic volatility and stochastic leverage [PDF]
Annals of Finance, 2009 This paper proposes the new concept of stochastic leverage in stochastic volatility models.Stochastic leverage refers to a stochastic process which replaces the classical constant correlation parameter between the asset return and the stochastic volatility process.
Veraart, Almut, Veraart, Luitgard A. M.
openaire +3 more sources
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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