Results 31 to 40 of about 5,135 (265)

PERHITUNGAN VALUE AT RISK DENGAN PENDUGA VOLATILITAS STOKASTIK HESTON

E-Jurnal Matematika, 2018
Value at risk is a method that measures financial risk of an security or portfolio. The aims of the research is to find out the value at risk of an exchange rate using the Heston stochastic volatility model. Heston model is a strochastic volatility model
DESAK PUTU DEVI DAMIYANTI, KOMANG DHARMAWAN, LUH PUTU IDA HARINI   +2 more
doaj   +1 more source

The memory of stochastic volatility models [PDF]

Journal of Econometrics, 2001
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +3 more sources

Model of Continuous Random Cascade Processes in Financial Markets

Frontiers in Physics, 2020
This article presents a continuous cascade model of volatility formulated as a stochastic differential equation. Two independent Brownian motions are introduced as random sources triggering the volatility cascade: one multiplicatively combines with ...
Jun-ichi Maskawa, Koji Kuroda
doaj   +1 more source

Estimation of integrated volatility in stochastic volatility models [PDF]

Applied Stochastic Models in Business and Industry, 2005
In the framework of stochastic volatility models we examine estimators for the integrated volatility based on the pth power variation (i.e. the sum of pth absolute powers of the log-returns). We derive consistency and distributional results for the estimators given high-frequency data, especially taking into account what kind of process we may add to ...
openaire   +2 more sources

Analytical Pricing Vulnerable Options with Stochastic Volatility in a Two-Factor Stochastic Interest Rate Model

Mathematics
This paper develops an analytical pricing formula for vulnerable options with stochastic volatility under a two-factor stochastic interest rate model.
Junkee Jeon, Geonwoo Kim
doaj   +1 more source

Pricing Collar Options with Stochastic Volatility

Discrete Dynamics in Nature and Society, 2017
This paper studies collar options in a stochastic volatility economy. The underlying asset price is assumed to follow a continuous geometric Brownian motion with stochastic volatility driven by a mean-reverting process.
Pengshi Li, Jianhui Yang
doaj   +1 more source

American option pricing with stochastic volatility processes

Journal of Hebei University of Science and Technology, 2017
In order to solve the problem of option pricing more perfectly, the option pricing problem with Heston stochastic volatility model is considered. The optimal implementation boundary of American option and the conditions for its early execution are ...
Ping LI, Jianhui LI
doaj   +1 more source

“Exact” and Approximate Methods for Bayesian Inference: Stochastic Volatility Case Study

Entropy, 2021
We conduct a case study in which we empirically illustrate the performance of different classes of Bayesian inference methods to estimate stochastic volatility models.
Yuliya Shapovalova
doaj   +1 more source

Shape-constrained semiparametric additive stochastic volatility models

Statistical Theory and Related Fields, 2019
Nonparametric stochastic volatility models, although providing great flexibility for modelling the volatility equation, often fail to account for useful shape information.
Jiangyong Yin, Peter F. Craigmile, Xinyi Xu, Steven MacEachern   +3 more
doaj   +1 more source

Valuing European Option Under Double 3/2-Volatility Jump-Diffusion Model With Stochastic Interest Rate and Stochastic Intensity Under Approximative Fractional Brownian Motion

International Journal of Analysis and Applications, 2023
In this study, we propose a more comprehensive and realistic option pricing model based on approximative fractional Brownian motion, building upon recent advancements in this area.
Siham Bayad, Abdelmajid El Hajaj, Khalid Hilal   +2 more
doaj   +1 more source