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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, KOMANG DHARMAWAN, I WAYAN SUMARJAYA   +2 more
doaj   +1 more source

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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A novel stochastic modeling framework for coal production and logistics through options pricing analysis

Financial Innovation, 2023
We propose a novel stochastic modeling framework for coal production and logistics using option pricing theory. The problem of valuing the inherent real optionality a coal producer has when mining and processing thermal coal is modelled as pricing spread
Mesias Alfeus, James Collins
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Estimation of Dynamic Panel Data Models with Stochastic Volatility Using Particle Filters

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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Incorporating stochastic volatility and long memory into geometric Brownian motion model to forecast performance of Standard and Poor's 500 index

AIMS Mathematics, 2023
It is known in the financial world that the index price reveals the performance of economic progress and financial stability. Therefore, the future direction of index prices is a priority of investors.
Mohammed Alhagyan, Mansour F. Yassen
doaj   +1 more source

Option Pricing under Two-Factor Stochastic Volatility Jump-Diffusion Model

Complexity, 2020
Empirical evidence shows that single-factor stochastic volatility models are not flexible enough to account for the stochastic behavior of the skew, and certain financial assets may exhibit jumps in returns and volatility.
Guohe Deng
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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, Eimutis Valakevičius   +1 more
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Valuation of Commodity-Linked Bond with Stochastic Convenience Yield, Stochastic Volatility, and Credit Risk in an Intensity-Based Model

Mathematics, 2023
In this study, we consider an intensity-based model for pricing a commodity-linked bond with credit risk. Recently, the pricing of a commodity-linked bond with credit risk under the structural model has been studied.
Junkee Jeon, Geonwoo Kim
doaj   +1 more source

Pricing Vulnerable European Options under Lévy Process with Stochastic Volatility

Discrete Dynamics in Nature and Society, 2018
This paper considers the pricing issue of vulnerable European option when the dynamics of the underlying asset value and counterparty’s asset value follow two correlated exponential Lévy processes with stochastic volatility, and the stochastic volatility
Chaoqun Ma, Shengjie Yue, Yishuai Ren
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Jump Driven Risk Model Performance in Cryptocurrency Market

International Journal of Financial Studies, 2020
This paper aims at identifying a validated risk model for the cryptocurrency market. We propose a stochastic volatility model with co-jumps in return and volatility (SVCJ) to highlight the role of jumps in returns and volatility in affecting Value-at ...
Ramzi Nekhili, Jahangir Sultan
doaj   +1 more source