Results 11 to 20 of about 127,087 (242)
Estimation of Dynamic Panel Data Models with Stochastic Volatility Using Particle Filters [PDF]
Econometrics, 2016 Time-varying volatility is common in macroeconomic data and has been incorporated into macroeconomic models in recent work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across countries or ...
Wen Xu
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Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model [PDF]
, 2016 This paper introduces the Inverse Gamma (IGa) stochastic volatility model with time-dependent parameters, defined by the volatility dynamics $dV_{t}=\kappa_{t}\left(\theta_{t}-V_{t}\right)dt+\lambda_{t}V_{t}dB_{t}$.
Langrené, Nicolas +2 more
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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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, 2005 Stochastic volatility (SV) is the main concept used in the elds of nancial economics and mathematical nance to deal with the endemic time-varying volatility and codependence found in nancial markets. Such dependence has been known for a long time.
Neil Shephard
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Nonparametric Stochastic Volatility [PDF]
SSRN Electronic Journal, 2010 We provide nonparametric methods for stochastic volatility modeling. Our methods allow for the joint evaluation of return and volatility dynamics with nonlinear drift and diffusion functions, nonlinear leverage effects, and jumps in returns and volatility with possibly state-dependent jump intensities, among other features.
BANDI F, Renò, Roberto
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Stochastic volatility and stochastic leverage [PDF]
Annals of Finance, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Veraart, Almut, Veraart, Luitgard A. M.
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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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ESTIMASI VOLATILITAS STOKASTIK CRYPTOCURRENCY BITCOIN MENGGUNAKAN MODEL HESTON-MILSTEIN
E-Jurnal Matematika, 2022 Volatility is a quantity that measures how far a stock or cryptocurrency price moves in a certain period. To measure volatility properly, it can be done by using volatility modeling.
NI PUTU WIDYA ISWARI DEWI +2 more
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American option pricing with stochastic volatility processes
Journal of Hebei University of Science and Technology, 2017 In order to solve the problem of option pricing more perfectly, the option pricing problem with Heston stochastic volatility model is considered. The optimal implementation boundary of American option and the conditions for its early execution are ...
Ping LI, Jianhui LI
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Stochastic Volatility for Lévy Processes [PDF]
Mathematical Finance, 2002 Three processes reflecting persistence of volatility are initially formulated by evaluating three Lévy processes at a time change given by the integral of a mean‐reverting square root process. The model for the mean‐reverting time change is then generalized to include non‐Gaussian models that are solutions to Ornstein‐Uhlenbeck equations driven by one ...
Geman, Hélyette +3 more
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