Results 81 to 90 of about 204,882 (322)
Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market [PDF]
This paper investigates the pricing bias in the Swedish OMX-Index Option market and how a stochastic volatility affects European call option prices. The market is purely European and without dividends for the period studied. A CIR square-root process for
Byström , Hans
core
Protected Chaos in a Topological Lattice
Advanced Science, EarlyView.Topological and chaotic dynamics are often considered incompatible, with one expected to dominate or disrupt the other. This work reveals that topological localization can persist even under strong chaotic dynamics and, counter‐intuitively, protect chaotic behavior.
Haydar Sahin +6 more
wiley +1 more source
Stochastic Spot/Volatility Correlation in Stochastic Volatility Models and Barrier Option Pricing [PDF]
arXiv, 2014 Most models for barrier pricing are designed to let a market maker tune the model-implied covariance between moves in the asset spot price and moves in the implied volatility skew. This is often implemented with a local volatility/stochastic volatility mixture model, where the mixture parameter tunes that covariance.
arxiv
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
core
Advanced Electronic Materials, EarlyView.A compact model for ferroelectric thin‐film capacitors operating under different electric fields and temperatures is reported. The model can reproduce polarization switching down to 4 K, making them suitable for quantum computing and space technologies.
Ella Paasio +2 more
wiley +1 more source
Advanced Electronic Materials, EarlyView.Cryogenic first firing in SiGeAsTe‐based Ovonic Threshold Switch (OTS) devices enhances stochastic switching, increasing trap generation and switching variability up to fourfold. This enables stable, high‐speed entropy generation (>20 Mbit s−1) without reference values, ensuring robustness under cycling.
Dongmin Kim +8 more
wiley +1 more source
On Calibrating Stochastic Volatility Models with time-dependent Parameters [PDF]
arXiv, 2010 We consider stochastic volatility models using piecewise constant parameters. We suggest a hybrid optimization algorithm for fitting the models to a volatility surface and provide some numerical results. Finally, we provide an outlook on how to further improve the calibration procedure.
arxiv
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
core +1 more source
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
core +1 more source
All Organic Fully Integrated Neuromorphic Crossbar Array
Advanced Electronic Materials, EarlyView.In this work, the first fully integrated crossbar array of electrochemical random‐access memory (ECRAM) that is composed entirely of organic materials is represented. This array can perform inference and in situ parallel training and is capable of classifying linearly separable 2D and 3D classification tasks with high accuracy.
Setareh Kazemzadeh +2 more
wiley +1 more source