Results 21 to 30 of about 127,087 (242)
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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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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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
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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. The developments and achievements in this area represent one of the great success stories of financial econometrics. Three broad classes of
Siddhartha Chib +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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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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An Intertemporal CAPM with Stochastic Volatility [PDF]
SSRN Electronic Journal, 2012 This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who is content to hold the aggregate equity market rather than overweighting value stocks and other equity portfolios that are attractive to short-term investors. We show that a conservative long-term investor will avoid such overweights in
Campbell, John Y. +3 more
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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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Stochastic Volatility of Volatility in Continuous Time
SSRN Electronic Journal, 2009 This paper introduces the concept of stochastic volatility of volatility in continuous time and, hence, extends standard stochastic volatility (SV) models to allow for an additional source of randomness associated with greater variability in the data.
Barndorff-Nielsen, Ole, Veraart, Almut
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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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