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Stochastic Volatility: Origins and Overview [PDF]

, 2009
Stochastic volatility is the main way time-varying volatility is modelled in financial markets. The development of stochastic volatility is reviewed, placing it in a modeling and historical context. Some recent trends in the literature are highlighted.
Neil Shephard, Torben G. Andersen
openaire   +6 more sources

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
doaj   +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, Yanli Zhou, Yonghong Wu, Xiangyu Ge   +3 more
doaj   +1 more source

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
doaj   +1 more source

MEAN VARIANCE PORTFOLIO SELECTION PROBLEM WITH MULTISCALE STOCHASTIC VOLATILITY

Prospectiva, 2022
This paper discussed the mean-variance portfolio selection problem with multiscale stochastic volatility. We considered two type of volatility, including a fast –moving one and a slowly-moving one by using the stochastic dynamic programming principle ...
Carlos Granados
doaj   +1 more source

Comparative analysis of stochastic models for simulating leveraged ETF price paths [PDF]

Mathematics and Modeling in Finance
This paper compares stochastic models for simulating leveraged Exchange-Traded Funds (LETFs) price paths, focusing on their applications in risk management and option pricing.
Kartikay Goyle
doaj   +1 more source

Valuation of Commodity-Linked Bond with Stochastic Convenience Yield, Stochastic Volatility, and Credit Risk in an Intensity-Based Model

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
doaj   +1 more source

Stochastic Volatility. [PDF]

, 2005
Stochastic volatility (SV) is the main concept used in the elds of nancial economics and mathematical nance to deal with the endemic time-varying volatility and codependence found in nancial markets. Such dependence has been known for a long time.
openaire   +4 more sources

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, Matthias Ehrhardt, Michael Günther   +2 more
doaj   +1 more source

Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity [PDF]

Applied Mathematics and Computation, 2019
15PAGES
Ben-Zhang Yang, Jia Yue, Ming-hui Wang, Nan-Jing Huang   +3 more
openaire   +3 more sources