Results 41 to 50 of about 1,317,113 (409)

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

open access: yesApplied Mathematics and Computation, 2019
15PAGES
Nan-jing Huang   +3 more
openaire   +3 more sources

Stochastic Volatility: Likelihood Inference And Comparison With Arch Models

open access: yes, 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
semanticscholar   +1 more source

Jump Driven Risk Model Performance in Cryptocurrency Market

open access: yesInternational 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

Decoupling the Short- and Long-Term Behavior of Stochastic Volatility [PDF]

open access: yesJournal 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
semanticscholar   +1 more source

Multivariate Stochastic Volatility [PDF]

open access: yes, 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
openaire   +3 more sources

Stochastic Volatility: Origins and Overview [PDF]

open access: yes, 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   +7 more sources

Influence of stochastic volatility for option pricing

open access: yesLietuvos 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
doaj   +1 more source

Pricing Vulnerable European Options under Lévy Process with Stochastic Volatility

open access: yesDiscrete 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
doaj   +1 more source

Precise asymptotics: Robust stochastic volatility models [PDF]

open access: yes, 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

Gaussian Stochastic Volatility Models: Scaling Regimes, Large Deviations, and Moment Explosions [PDF]

open access: yesStochastic 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

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