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Test data sets for calibration of stochastic and fractional stochastic volatility models. [PDF]
Data Brief, 2016 Data for calibration and out-of-sample error testing of option pricing models are provided alongside data obtained from optimization procedures in ''On calibration of stochastic and fractional stochastic volatility models'' [1].
Pospíšil J, Sobotka T.
europepmc +2 more sources
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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Herding and Stochastic Volatility [PDF]
SSRN Electronic Journal, 2015 In this paper we develop a one-factor non-affine stochastic volatility option pricing model where the dynamics of the underlying is endogenously determined from micro-foundations. The interaction and herding of the agents trading the underlying asset induce an amplification of the volatility of the asset over the volatility of the fundamentals ...
Boris Waelchli +5 more
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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 ...
Hélyette Geman +4 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
doaj +3 more sources
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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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 +2 more
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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
Robert Turley +6 more
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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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Smiling under stochastic volatility [PDF]
Spanish Economic Review, 2004 Gonzalo Rubio and Ángel León acknowledge the financial support provided by Ministerio de Ciencia y Tecnología grants BEC2001-0636 and BEC2002-03797 respectively. Ángel León also acknowledges Generalitat Valenciana grant CTIDIA/2002/103.
Rubio Irigoyen, Gonzalo, León, Angel
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