Results 61 to 70 of about 127,087 (242)
A Stochastic Volatility Alternative to SABR [PDF]
Journal of Applied Probability, 2008 We present two new stochastic volatility models in which option prices for European plain-vanilla options have closed-form expressions. The models are motivated by the well-known SABR model, but use modified dynamics of the underlying asset. The asset process is modelled as a product of functions of two independent stochastic processes: a Cox-Ingersoll-
Rogers, L. C. G., Veraart, L. A. M.
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Linear State Models for Volatility Estimation and Prediction [PDF]
, 2006 This report covers the important topic of stochastic volatility modelling with an emphasis on linear state models. The approach taken focuses on comparing models based on their ability to fit the data and their forecasting performance.
Date, P, Hawkes, R
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"Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio" [PDF]
In this paper, we aim at forecasting the stochastic volatility of key financial market variables with the Kalman filter using stochastic models developed by Taylor (1986,1994) and Nelson (1990).
Racicot, François-Éric +1 more
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Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
, 2015 In this paper, we are concerned with nonparametric inference on the volatility of volatility process in stochastic volatility models. We construct several estimators for its integrated version in a high-frequency setting, all based on increments of spot ...
Vetter, Mathias
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CEV MODEL WITH STOCHASTIC VOLATILITY
Journal of Vasyl Stefanyk Precarpathian National University, 2019 This paper develops a systematic method for calculating approximate prices for a wide range of securities implying the tools of spectral analysis, singular and regular perturbation theory. Price options depend on stochastic volatility, which may be multiscale, in the sense that it may be driven by one fast-varying and one slow-varying factor. The found
BURTNYAK, IVAN, MALYTSKA, ANNA
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A Neural Stochastic Volatility Model
, 2018 In this paper, we show that the recent integration of statistical models with deep recurrent neural networks provides a new way of formulating volatility (the degree of variation of time series) models that have been widely used in time series analysis ...
Luo, Rui +3 more
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Forecasting volatility: does continuous time do better than discrete time? [PDF]
In this paper we compare the forecast performance of continuous and discrete-time volatility models. In discrete time, we consider more than ten GARCH-type models and an asymmetric autoregressive stochastic volatility model.
Carles Bretó, Helena Veiga
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Minimizing the Probability of Lifetime Ruin under Stochastic Volatility
, 2011 We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility.
Bayraktar, Erhan +2 more
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On leverage in a stochastic volatility model [PDF]
Journal of Econometrics, 2004 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Pricing Parisian Option under a Stochastic Volatility Model
Journal of Applied Mathematics, 2014 We study the pricing of a Parisian option under a stochastic volatility model. Based on the manipulation problem that barrier options might create near barriers, the Parisian option has been designed as an extended barrier option. A stochastic volatility
Min-Ku Lee, Kyu-Hwan Jang
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