Results 271 to 280 of about 116,745 (301)

Stochastic market volatility models

Applied Financial Economics Letters, 2005
A new market-based approach to evaluating options on an asset is offered. The model corresponds to the real situations encountered in the market: option prices are not uniquely determined by their underlying asset but mainly by another factor, namely stochastic market volatility (or simply SMV).
openaire   +1 more source

Stochastic Volatility Model

2023
Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe   +2 more
openaire   +1 more source

A new nonlinear stochastic volatility model with regime switching stochastic mean reversion and its applications to option pricing

Expert Systems With Applications, 2023
Sha Lin, Xin-Jiang He
exaly  

A fractional Black-Scholes model with stochastic volatility and European option pricing

Expert Systems With Applications, 2021
Xin-Jiang He, Sha Lin
exaly  

Analytically pricing variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching

Expert Systems With Applications, 2023
Xin-Jiang He
exaly  

On the volatility of WTI crude oil prices: A time-varying approach with stochastic volatility

Energy Economics, 2023
Sabri Boubaker
exaly  

Gaussian Process Regression Stochastic Volatility Model for Financial Time Series

IEEE Journal on Selected Topics in Signal Processing, 2016
Xiao-Ping Zhang, Fang Wang
exaly  

The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well

Management Science, 2009
Kris Jacobs
exaly  

Econometric analysis of realized volatility and its use in estimating stochastic volatility models

Journal of the Royal Statistical Society Series B: Statistical Methodology, 2002
Neil Shephard
exaly  

Asymmetric Stochastic Volatility Model

2023
Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe   +2 more
openaire   +1 more source