Results 21 to 30 of about 11,306 (311)
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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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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MEAN-REVERTING STOCHASTIC VOLATILITY [PDF]
International Journal of Theoretical and Applied Finance, 2000 We present derivative pricing and estimation tools for a class of stochastic volatility models that exploit the observed "bursty" or persistent nature of stock price volatility. An empirical analysis of high-frequency S&P 500 index data confirms that volatility reverts slowly to its mean in comparison to the tick-by-tick fluctuations of the index ...
Fouque, Jean-Pierre +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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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.
Fouque, Jean-Pierre +3 more
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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
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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
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Pricing Collar Options with Stochastic Volatility
Discrete Dynamics in Nature and Society, 2017 This paper studies collar options in a stochastic volatility economy. The underlying asset price is assumed to follow a continuous geometric Brownian motion with stochastic volatility driven by a mean-reverting process.
Pengshi Li, Jianhui Yang
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Option Pricing under the Jump Diffusion and Multifactor Stochastic Processes
Journal of Function Spaces, 2019 In financial markets, there exists long-observed feature of the implied volatility surface such as volatility smile and skew. Stochastic volatility models are commonly used to model this financial phenomenon more accurately compared with the conventional
Shican Liu +3 more
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