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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
semanticscholar +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
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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
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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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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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Double-jump stochastic volatility model for VIX: evidence from VVIX
, 2015 The paper studies the continuous-time dynamics of VIX with stochastic volatility and jumps in VIX and volatility. Built on the general parametric affine model with stochastic volatility and jump in logarithm of VIX, we derive a linear relation between ...
Huang, Jing-Zhi +3 more
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Bootstrapping Non-Stationary Stochastic Volatility [PDF]
SSRN Electronic Journal, 2019 In this paper we investigate how the bootstrap can be applied to time series regressions when the volatility of the innovations is random and non-stationary. The volatility of many economic and financial time series displays persistent changes and possible non-stationarity.
Iliyan Georgiev +5 more
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Asymptotics for Rough Stochastic Volatility Models [PDF]
SIAM Journal on Financial Mathematics, 2016 Using the large deviation principle (LDP) for a rescaled fractional Brownian motion $B^H_t$, where the rate function is defined via the reproducing kernel Hilbert space, we compute small-time asymptotics for a correlated fractional stochastic volatility ...
M. Forde, Hongzhong Zhang
semanticscholar +1 more source