Results 31 to 40 of about 204,882 (322)
Empirical Analysis of Stochastic Volatility Model by Hybrid Monte Carlo Algorithm [PDF]
Journal of Physics: Conference Series 423 (2013) 012021, 2013 The stochastic volatility model is one of volatility models which infer latent volatility of asset returns. The Bayesian inference of the stochastic volatility (SV) model is performed by the hybrid Monte Carlo (HMC) algorithm which is superior to other Markov Chain Monte Carlo methods in sampling volatility variables.
arxiv +1 more source
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
doaj +1 more source
Numerical Simulation of the Heston Model under Stochastic Correlation
International Journal of Financial Studies, 2017 Stochastic correlation models have become increasingly important in financial markets. In order to be able to price vanilla options in stochastic volatility and correlation models, in this work, we study the extension of the Heston model by imposing ...
Long Teng +2 more
doaj +1 more source
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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Medidas alternativas de volatilidad en el mercado de valores peruano
Revista de Análisis Económico y Financiero, 2019 This document seeks to compare the main volatility calculation methodologies for the Peruvian stock market. Three volatility calculation methods are presented, the EWMA model, the GARCH model and the Stochastic Volatility (SV) model.
Rafael Nivin Valdiviezo
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Local volatility under rough volatility [PDF]
arXiv, 2022 Several asymptotic results for the implied volatility generated by a rough volatility model have been obtained in recent years (notably in the small-maturity regime), providing a better understanding of the shapes of the volatility surface induced by rough volatility models, and supporting their calibration power to S&P500 option data. Rough volatility
arxiv
Model of Continuous Random Cascade Processes in Financial Markets
Frontiers in Physics, 2020 This article presents a continuous cascade model of volatility formulated as a stochastic differential equation. Two independent Brownian motions are introduced as random sources triggering the volatility cascade: one multiplicatively combines with ...
Jun-ichi Maskawa, Koji Kuroda
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AIMS Mathematics, 2023 In general, derivation of closed-form analytic formulas for the prices of path-dependent exotic options is a challenging task when the underlying asset price model is chosen to be a stochastic volatility model.
Min-Ku Lee, Jeong-Hoon Kim
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Forecasting the Crude Oil Prices Volatility With Stochastic Volatility Models
SAGE Open, 2021 In this article, the stochastic volatility model is introduced to forecast crude oil volatility by using data from the West Texas Intermediate (WTI) and Brent markets.
Dondukova Oyuna, Liu Yaobin
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Advanced Engineering Materials, EarlyView.Developing process parameters for the laser‐based Powder Bed Fusion of metals can be a tedious task. Based on melt pool depth, the process parameters are transferable to different laser scan speeds. For this, understanding the melt pool scaling behavior is essential, particularly for materials with high thermal diffusivity, as a change in scaling ...
Markus Döring +2 more
wiley +1 more source