Results 11 to 20 of about 22,553 (296)
SSRN Electronic Journal, 2008 Given the importance of return volatility on a number of practical financial management decisions, the efforts to provide good real- time estimates and forecasts of current and future volatility have been extensive.
Torben G. Andersen, Luca Benzoni
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"Multivariate stochastic volatility" [PDF]
, 2009 We provide a detailed summary of the large and vibrant emerging literature that deals with the multivariate modeling of conditional volatility of financial time series within the framework of stochastic volatility.
Manabu Asai +2 more
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Multipower Variation and Stochastic Volatility [PDF]
, 2006 In this brief note we review some of our recent results on the use of high frequency financial data to estimate objects like integrated variance in stochastic volatility models.
Neil Shephard, Ole Barndorff-Nielsen
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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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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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The Jacobi stochastic volatility model [PDF]
Finance and Stochastics, 2016 We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log returns admits a Gram-Charlier A expansion with closed-form coefficients.
Filipovic, Damir +2 more
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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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Dynamic equicorrelation stochastic volatility [PDF]
Computational Statistics & Data Analysis, 2016 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yuta Kurose, Yasuhiro Omori
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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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