Results 101 to 110 of about 116,745 (301)
A Locally Both Leptokurtic and Fat-Tailed Distribution with Application in a Bayesian Stochastic Volatility Model. [PDF]
Entropy (Basel), 2021 Lenart Ł, Pajor A, Kwiatkowski Ł.
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Smiling under stochastic volatility [PDF]
This paper studies the behavior of the implied volatility function (smile) when the true distribution of the underlying asset is consistent with the stochastic volatility model proposed by Heston (1993). The main result of the paper is to extend previous
León, Angel, Rubio Irigoyen, Gonzalo
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Implied Stochastic Volatility Models
The Review of Financial Studies, 2020 Abstract This paper proposes “implied stochastic volatility models” designed to fit option-implied volatility data and implements a new estimation method for such models. The method is based on explicitly linking observed shape characteristics of the implied volatility surface to the coefficient functions that define the stochastic ...
Yacine Aït-Sahalia +2 more
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Progress in Strain Engineering of 2D‐Integrated Heterostructures for Ultrasensitive Sensors
Advanced Science, EarlyView.. ABSTRACT Two‐dimensional (2D) integrated heterostructures have emerged as a cornerstone in the advancement of next‐generation sensor technologies. These heterostructures, which combine materials with different dimensionalities, have led to significant breakthroughs in sensing performance and device integration.
That Buu Ton +4 more
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Induced Garima Stochastic Volatility Models
Austrian Journal of StatisticsIn the present paper, a stochastic volatility model generated by a first-order induced Garima Markov sequence has been suggested for modeling financial time series. The statistical and probabilistic properties of the suggested model are studied, and the
Fathima Jafna, Krishnarani S. D.
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Semi-Analytical Option Pricing Under Double Heston Jump-Diffusion Hybrid Model
Journal of Mathematical Sciences and Modelling, 2018 We examine European call options in the jump-diffusion version of the Double Heston stochastic volatility model for the underlying price process to provide a more flexible model for the term structure of volatility.
Rehez Ahlip +2 more
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Pricing stock options under stochastic volatility and interest rates with efficient method of moments estimation [PDF]
While the stochastic volatility (SV) generalization has been shown to improve the explanatory power over the Black-Scholes model, empirical implications of SV models on option pricing have not yet been adequately tested.
Jiang, George J. +1 more
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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
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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
, 2023 I denne avhandlingen ble effektiviteten av Stokastiske Volatilitetsmodeller, med ARMA(p, q) log-volatilitet, undersøkt i forhold til GARCH(p, q) i å forutsi volatiliteten til finansielle tidsserier. Videre var målet å vurdere evnen til SVMer i å fange opp atferden til underliggende finansielle tidsserier.
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