Results 41 to 50 of about 187,018 (291)
Volatility Is Log-Normal—But Not for the Reason You Think
Risks, 2018 It is impossible to discriminate between the commonly used stochastic volatility models of Heston, log-normal, and 3-over-2 on the basis of exponentially weighted averages of daily returns—even though it appears so at first sight. However, with a 5-
Martin Tegnér, Rolf Poulsen
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Stock Returns and Cash Flows: A New Asset Pricing Approach
Journal of Economics and Financial Analysis, 2022 This study is focused on a non-conventional profitability measure, at least in terms of assets pricing models, where dividends or profits are widely used. The attention is focused on a proxy measure of Operating Cash Flows: the "Ebitda after Capex".
Sonia Di TOMASO +2 more
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FORECASTING MODEL OF AGRICULTURE COMMODITY OF VALUE EXPORT OF COFFEE; APPLICATION OF ARIMA MODEL
Jurnal Teknik Pertanian Lampung, 2020 Indonesia is currently one of the largest coffee producers in the world, and involved in exporting coffee countries. The financial series data such as export value of coffee is highly volatile in both mean and variance.
R.R. Erlina, Rialdi Azhar
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Trading using Hidden Markov Models during COVID-19 turbulences
Management şi Marketing, 2021 Obtaining higher than market returns is a difficult goal to achieve, especially in times of turbulence such as the COVID-19 crisis, which tested the resilience of many models and algorithms.
Lolea Iulian Cornel, Stamule Simona
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Volatility of Volatility and Tail Risk Premiums [PDF]
Finance and Economics Discussion Series, 2013 This paper reports on tail risk premiums in two tail risk hedging strategies: the S&P 500 puts and the VIX calls. As a new measure of tail risk, we suggest using a model-free, risk-neutral measure of the volatility of volatility implied by a cross section of the VIX options, which we call the VVIX index.
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A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL [PDF]
International Journal of Theoretical and Applied Finance, 2014 We propose a new type of asymptotic expansion for the transition probability density function (or heat kernel) of certain parabolic partial differential equations (PDEs) that appear in option pricing. As other, related methods developed by Costanzino, Hagan, Gatheral, Lesniewski, Pascucci, and their collaborators, among others, our method is based on ...
Nistor, Victor +2 more
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A new measure of volatility using induced heavy moving averages
Technological and Economic Development of Economy, 2019 The volatility is a dispersion technique widely used in statistics and economics. This paper presents a new way to calculate volatility by using different extensions of the ordered weighted average (OWA) operator.
Ernesto León-Castro +4 more
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Perpetual callable American volatility options in a mean-reverting volatility model [PDF]
arXiv, 2021 This paper investigates problems associated with the valuation of callable American volatility put options. Our approach involves modeling volatility dynamics as a mean-reverting 3/2 volatility process. We first propose a pricing formula for the perpetual American knock-out put.
arxiv
Physica A: Statistical Mechanics and its Applications, 2007 We introduce the concept of virtual volatility. This simple but new measure shows how to quantify the uncertainty in the forecast of the drift component of a random walk. The virtual volatility also is a useful tool in understanding the stochastic process for a given portfolio.
A. Christian Silva, Richard E. Prange
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Empirical Analysis of Stochastic Volatility Model by Hybrid Monte Carlo Algorithm [PDF]
Journal of Physics: Conference Series 423 (2013) 012021, 2013 The stochastic volatility model is one of volatility models which infer latent volatility of asset returns. The Bayesian inference of the stochastic volatility (SV) model is performed by the hybrid Monte Carlo (HMC) algorithm which is superior to other Markov Chain Monte Carlo methods in sampling volatility variables.
arxiv +1 more source