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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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Stochastic Volatility: Likelihood Inference And Comparison With Arch Models
, 1996 In this paper, Markov chain Monte Carlo sampling methods are exploited to provide a unified, practical likelihood-based framework for the analysis of stochastic volatility models.
Sangjoon Kim, N. Shephard, S. Chib
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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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Precise asymptotics: Robust stochastic volatility models [PDF]
, 2018 We present a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to short-time and small noise formulae for option prices.
P. Friz, Paul Gassiat, P. Pigato
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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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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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Decoupling the Short- and Long-Term Behavior of Stochastic Volatility [PDF]
Journal of Financial Econometrics, 2016 We introduce a new class of continuous-time models of the stochastic volatility of asset prices. The models can simultaneously incorporate roughness and slowly decaying autocorrelations, including proper long memory, which are two stylized facts often ...
Mikkel Bennedsen +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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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
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Gaussian Stochastic Volatility Models: Scaling Regimes, Large Deviations, and Moment Explosions [PDF]
Stochastic Processes and their Applications, 2018 In this paper, we establish sample path large and moderate deviation principles for log-price processes in Gaussian stochastic volatility models, and study the asymptotic behavior of exit probabilities, call pricing functions, and the implied volatility.
Archil Gulisashvili
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