Results 11 to 20 of about 22,447 (299)
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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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 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Veraart, Almut, Veraart, Luitgard A. M.
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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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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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MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS [PDF]
Mathematical Finance, 2013 The aim of this work is to advocate the use of multifractional Brownian motion (mBm) as a relevant model in financial mathematics. mBm is an extension of fractional Brownian motion where the Hurst parameter is allowed to vary in time. This enables the possibility to accommodate for varying local regularity, and to decouple it from long‐range dependence
Corlay, Sylvain +2 more
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Multiscale Stochastic Volatility Asymptotics [PDF]
Multiscale Modeling & Simulation, 2003 In the book by \textit{J.-P. Fouqué}, \textit{G. Papanicolaou} and \textit{K. R. Sircar} [Derivatives in financial markets with stochastic volatility. Cambridge: University Press (2000; Zbl 0954.91025)] a class of models was considered where volatility is a mean-reverting diffusion with an intrinsic fast time scale.
Jean-Pierre Fouque +3 more
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Influence of stochastic volatility for option pricing
Lietuvos Matematikos Rinkinys, 2004 The article analyzes three models of stochastic volatility. Investigation of influence of stochastic volatility for pricing options traded in the Vilnius bank is done.
Akvilina Valaitytė +1 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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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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