Asymptotic Analysis for One-Name Credit Derivatives
Abstract and Applied Analysis, 2013 We propose approximate solutions to price defaultable zero-coupon bonds as well as the corresponding credit default swaps and bond options. We consider the intensity-based approach of a two-correlated-factor Hull-White model with stochastic volatility of
Yong-Ki Ma, Beom Jin Kim
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Asymptotic analysis for stochastic volatility: Edgeworth expansion
, 2010 The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions.
Fukasawa, Masaaki
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Inference for stochastic volatility models using time change transformations [PDF]
, 2010 Κωνσταντίνος Καλογερόπουλος +2 more
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Higher-order dynamic effects of uncertainty risk under thick-tailed stochastic volatility. [PDF]
Financ Innov, 2022 Gong XL, Lu JY, Xiong X, Zhang W.
europepmc +1 more source
Markov Regime Switching of Stochastic Volatility Lévy Model on Approximation Mode
Journal of Applied Mathematics, 2013 This paper deals with financial modeling to describe the behavior of asset returns, through consideration of economic cycles together with the stylized empirical features of asset returns such as fat tails.
Arthit Intarasit
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An Asymptotic Expansion with Push-Down of Malliavin Weights [PDF]
This paper derives asymptotic expansion formulas for option prices and implied volatilities as well as the density of the underlying asset price in multi-dimensional stochastic volatility models.
Akihiko Takahashi, Toshihiro Yamada
core
Stochastic Spot/Volatility Correlation in Stochastic Volatility Models and Barrier Option Pricing [PDF]
, 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.
Higgins, Mark
core
"Exact" and Approximate Methods for Bayesian Inference: Stochastic Volatility Case Study. [PDF]
Entropy (Basel), 2021 Shapovalova Y.
europepmc +1 more source
PRACTICAL INVESTMENT STRATEGIES UNDER A MULTI-SCALE HESTON'S STOCHASTIC VOLATILITY MODEL [PDF]
, 2017 Jai Heui Kim, Sotheara Veng
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The memory of stochastic volatility models [PDF]
Journal of Econometrics, 2001 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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