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Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity [PDF]
Applied Mathematics and Computation, 2019 15PAGES
Nan-jing Huang +3 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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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
semanticscholar +1 more source
Multipower Variation and Stochastic Volatility [PDF]
, 2006 In this brief note we review some of our recent results on the use of high frequency financial data to estimate objects like integrated variance in stochastic volatility models. Interesting issues include multipower variation, jumps and market microstructure effects.
Barndorff-Nielsen, Ole Eiler +1 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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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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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
semanticscholar +1 more source
Dynamic equicorrelation stochastic volatility [PDF]
Computational Statistics & Data Analysis, 2016 A multivariate stochastic volatility model with dynamic equicorrelation and cross leverage effect is proposed and estimated. Using a Bayesian approach, an efficient Markov chain Monte Carlo algorithm is described where we use the multi-move sampler, which generates multiple latent variables simultaneously.
Yuta Kurose, Yasuhiro Omori
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Dealing with Stochastic Volatility in Time Series Using the R Package stochvol [PDF]
, 2016 The R package stochvol provides a fully Bayesian implementation of heteroskedasticity modeling within the framework of stochastic volatility. It utilizes Markov chain Monte Carlo (MCMC) samplers to conduct inference by obtaining draws from the posterior ...
G. Kastner
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