Results 361 to 370 of about 1,187,567 (409)
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, 1993
I use a new technique to derive a closed-form solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spot-asset returns. I introduce stochastic interest rates
S. Heston
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I use a new technique to derive a closed-form solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spot-asset returns. I introduce stochastic interest rates
S. Heston
semanticscholar +1 more source
SSRN Electronic Journal, 2006 Growth and volatility correlate negatively across countries, but positively across sectors. Analytically, whether or not sectoral growth and volatility are correlated positively is irrelevant in the aggregate. Cross-country estimates identify the detrimental effects of macroeconomic volatility on growth, but they cannot be used to dismiss theories ...
Jean Imbs, Jean Imbs, Jean Imbs
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ANSWERING THE SKEPTICS: YES, STANDARD VOLATILITY MODELS DO PROVIDE ACCURATE FORECASTS*
, 1998A voluminous literature has emerged for modeling the temporal dependencies in financial market volatility using ARCH and stochastic volatility models.
T. Andersen, Tim Bollerslev
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A Simple Approximate Long-Memory Model of Realized Volatility
, 2008The paper proposes an additive cascade model of volatility components defined over different time periods. This volatility cascade leads to a simple AR-type model in the realized volatility with the feature of considering different volatility components ...
Fulvio Corsi
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The Volatility-of-Volatility Term Structure [PDF]
SSRN Electronic Journal, 2018 We apply the model-free implied risk-neutral measure of variance to VIX options to investigate the volatility-of-volatility (VVIX) term structure. We find that the information content of the VVIX term structure is fairly distinct from the VIX term structure. Both carry different pieces of information about market uncertainty.
Nicole Branger +2 more
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Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects
SSRN Electronic Journal, 2018Abstract Predicting volatility is of primary importance for business applications in risk management, asset allocation, and the pricing of derivative instruments. This paper proposes a measurement model that considers the possibly time-varying interaction of realized volatility and asset returns according to a bivariate model to capture its major ...
Tommaso Proietti +2 more
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The Distribution of Realized Exchange Rate Volatility
, 2000Using high-frequency data on deutschemark and yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation that cover an entire decade.
T. Andersen +3 more
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, 2004 The authors study the empirical, cross-country relationship between macroeconomic volatility and long-run economic growth. They address four central questions: 1) Does the volatility-growth link depend on country and policy characteristics, such as the level of development or trade openness?
Hnatkovska, Viktoria, Loayza, Norman
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Stochastic Volatility III: Volatility Models and Volatility Surfaces [PDF]
SSRN Electronic Journal, 2010 We consider implied volatility, time-dependent volatility, local volatility and stochastic volatility. We derive relationships between the different concepts. The relationships are of an exact analytical type if this is possible, else we use expansions to obtain approximate expressions. We close with a discussion of the mixing theorem.
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Volatility of volatility is (also) rough
Journal of Futures Markets, 2019AbstractUsing high‐frequency data for major volatility indexes, we compute the volatility of volatility and show that its logarithm follows a fractional Brownian motion with Hurst parameter smaller than 1/2 thereby extending to the volatility asset class the recent findings obtained for the equity index markets.
José Da Fonseca +2 more
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