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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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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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The time-varying asymmetry of exchange rate returns : a stochastic volatility - stochastic skewness model [PDF]
, 2020 While the time-varying volatility of financial returns has been extensively modelled, most existing stochastic volatility models either assume a constant degree of return shock asymmetry or impose symmetric model innovations. However, accounting for time-
Iseringhausen, Martin
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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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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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Extremal behavior of stochastic volatility models [PDF]
, 2005 Empirical volatility changes in time and exhibits tails, which are heavier than normal. Moreover, empirical volatility has - sometimes quite substantial - upwards jumps and clusters on high levels.
Fasen, V. +2 more
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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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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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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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