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Capturing the volatility smile: parametric volatility models versus stochastic volatility models [PDF]

Public and Municipal Finance, 2016
Black-Scholes option pricing model (1973) assumes that all option prices on the same underlying asset with the same expiration date, but different exercise prices should have the same implied volatility.
Belen Blanco
doaj   +1 more source

Option Pricing under Two-Factor Stochastic Volatility Jump-Diffusion Model

Complexity, 2020
Empirical evidence shows that single-factor stochastic volatility models are not flexible enough to account for the stochastic behavior of the skew, and certain financial assets may exhibit jumps in returns and volatility.
Guohe Deng
doaj   +1 more source

Jump Driven Risk Model Performance in Cryptocurrency Market

International Journal of Financial Studies, 2020
This paper aims at identifying a validated risk model for the cryptocurrency market. We propose a stochastic volatility model with co-jumps in return and volatility (SVCJ) to highlight the role of jumps in returns and volatility in affecting Value-at ...
Ramzi Nekhili, Jahangir Sultan
doaj   +1 more source

Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter

Econometrics, 2023
Despite the growing interest in realized stochastic volatility models, their estimation techniques, such as simulated maximum likelihood (SML), are computationally intensive.
Manabu Asai
doaj   +1 more source

The Alpha‐Heston stochastic volatility model [PDF]

Mathematical Finance, 2021
AbstractWe introduce an affine extension of the Heston model, called the ‐Heston model, where the instantaneous variance process contains a jump part driven by ‐stable processes with . In this framework, we examine the implied volatility and its asymptotic behavior for both asset and VIX options.
Ying Jiao, Chunhua Ma, Simone Scotti, Chao Zhou   +3 more
openaire   +3 more sources

Extremal behavior of stochastic volatility models [PDF]

, 2005
Empirical volatility changes in time and exhibits tails, which are heavier than normal. Moreover, empirical volatility has - sometimes quite substantial - upwards jumps and clusters on high levels.
Fasen, V., Klüppelberg, Claudia, Lindner, A.   +2 more
core   +2 more sources

A novel stochastic modeling framework for coal production and logistics through options pricing analysis

Financial Innovation, 2023
We propose a novel stochastic modeling framework for coal production and logistics using option pricing theory. The problem of valuing the inherent real optionality a coal producer has when mining and processing thermal coal is modelled as pricing spread
Mesias Alfeus, James Collins
doaj   +1 more source

Valuation of Commodity-Linked Bond with Stochastic Convenience Yield, Stochastic Volatility, and Credit Risk in an Intensity-Based Model

Mathematics, 2023
In this study, we consider an intensity-based model for pricing a commodity-linked bond with credit risk. Recently, the pricing of a commodity-linked bond with credit risk under the structural model has been studied.
Junkee Jeon, Geonwoo Kim
doaj   +1 more source

Stochastic volatility and DSGE models [PDF]

Economics Letters, 2009
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +4 more sources

Medidas alternativas de volatilidad en el mercado de valores peruano

Revista de Análisis Económico y Financiero, 2019
This document seeks to compare the main volatility calculation methodologies for the Peruvian stock market. Three volatility calculation methods are presented, the EWMA model, the GARCH model and the Stochastic Volatility (SV) model.
Rafael Nivin Valdiviezo
doaj   +1 more source