Results 261 to 270 of about 116,745 (301)
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2011
A natural generalization of the Black–Scholes model is to allow the volatility to be stochastic. This is motivated by the fact that a historical analysis shows that the volatility indeed behaves as if it was stochastic. In this chapter we consider various techniques for solving stochastic volatility models.
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A natural generalization of the Black–Scholes model is to allow the volatility to be stochastic. This is motivated by the fact that a historical analysis shows that the volatility indeed behaves as if it was stochastic. In this chapter we consider various techniques for solving stochastic volatility models.
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2009
So far, the characteristic function of the log-price at maturity was used without further specifications. In the following chapters, we derive characteristic functions for different settings. Once the characteristic function is obtained, it can be applied in the pricing equations as presented in Chap. 3.
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So far, the characteristic function of the log-price at maturity was used without further specifications. In the following chapters, we derive characteristic functions for different settings. Once the characteristic function is obtained, it can be applied in the pricing equations as presented in Chap. 3.
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Gamma stochastic volatility models
Journal of Forecasting, 2006AbstractThis paper presents gamma stochastic volatility models and investigates its distributional and time series properties. The parameter estimators obtained by the method of moments are shown analytically to be consistent and asymptotically normal. The simulation results indicate that the estimators behave well.
Bovas Abraham +2 more
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2021
The Black Scholes formula is one of the most used to determine what is the fair value of options. However, there are some assumptions such as that volatility is constant that are not met in the real market. Stochastic volatility models can be used as an extension of Black Scholes where volatility is a random process.
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The Black Scholes formula is one of the most used to determine what is the fair value of options. However, there are some assumptions such as that volatility is constant that are not met in the real market. Stochastic volatility models can be used as an extension of Black Scholes where volatility is a random process.
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Estimation of Stochastic Volatility Models
2002The stochastic volatility model and the problems related to their estimation are considered. After reviewing the most popular estimation procedures, it is illustrated how to overcome the difficulty of evaluating and maximizing the likelihood, a high-dimensional integral, using a quadrature method.
BARTOLUCCI, Francesco, De Luca G.
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Stochastic Volatility and Realized Stochastic Volatility Models
2023Makoto Takahashi +2 more
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Stochastic volatility models - a bayesian approach : Bayesian stochastic volatility models
1997Thesis - Athens University of Economics and Business.
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Effective stochastic local volatility models
Quantitative Finance, 2022M. Felpel, J. Kienitz, T.A. McWalter
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