搜索结果: 1-14 共查到“应用经济学 Stochastic Volatility”相关记录14条 . 查询时间(0.198 秒)
New solvable stochastic volatility models for pricing volatility derivatives
New solvable stochastic volatility models pricing volatility derivatives Pricing of Securities
2012/6/5
Classical solvable stochastic volatility models (SVM) use a CEV process for instantaneous variance where the CEV parameter $\gamma$ takes just few values: 0 - the Ornstein-Uhlenbeck process, 1/2 - the...
Exponential Levy models with stochastic volatility and stochastic jump-intensity
spectral theory normal operator Levy process stochastic volatility stochastic jump-intensity
2012/6/4
We consider the problem of valuing a European option written on an asset whose dynamics are described by an exponential L\'evy-type model. Both the volatility and jump-intensity of the L\'evy process ...
On Calibrating Stochastic Volatility Models with time-dependent Parameters
Calibrating Stochastic Volatility Models time-dependent Parameters
2010/10/22
We consider stochastic volatility models using piecewise constant parameters. We suggest a hybrid optimization algorithm for fitting the models to a volatility surface and provide some numerical resu...
Density quantization method in the optimal portfolio choice with partial observation of stochastic volatility
Optimal portfolio partial observation ltering density
2010/10/21
Computational aspects of the optimal consumption and investment with the partially observed stochastic volatility of the asset prices are considered. The new quantization approach to filtering - dens...
Analytical and Numerical Approaches to Pricing the Path-Dependent Options with Stochastic Volatility
Analytical Numerical Pricing Path-Dependent Options Stochastic Volatility
2010/10/21
In this paper new analytical and numerical approaches to valuating path-dependent options of European type have been developed. The model of stochastic volatility as a basic model has been chosen. Fo...
Small-time asymptotics for fast mean-reverting stochastic volatility models
Small-time asymptotics fast mean-reverting stochastic volatility models
2010/10/21
In this paper, we study stochastic volatility models in regimes where the maturity is small but large compared to the mean-reversion time of the stochastic volatility factor. The problem falls in the...
A contribution to the systematics of stochastic volatility models
fluctuations econophysics stochastic differential equations
2010/10/21
We compare systematically several classes of stochastic volatility models of stock market fluctuations. We show that the long-time return distribution is either Gaussian or develops a power-law tail,...
Valuation equations for stochastic volatility models
Valuation equations stochastic volatility models
2010/10/20
We study the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models. The standard Feynman-Kac theorem cannot be directly applied ...
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
Stochastic volatility Heston model fast mean-reversion
2010/10/21
We propose a multi-scale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertubative expansion is...
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
Spectral Decomposition Option Prices Fast Mean-Reverting Stochastic Volatility Models
2010/10/21
Using spectral decomposition techniques and singular perturbation theory, we develop a systematic method to approximate the prices of a variety of options in a fast mean-reverting stochastic volatilit...
Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model
Econophysics Stochastic Volatility Monte Carlo Simulation Option Pricing Model Calibration
2010/11/1
We consider the problem of option pricing under stochastic volatility models, focusing on
the linear approximation of the two processes known as exponential Ornstein-Uhlenbeck
and Stein-Stein.
Stochastic Volatility Models Including Open, Close, High and Low Prices
Stochastic Volatility Models Prices
2010/10/29
Mounting empirical evidence suggests that the observed extreme prices within a trading
period can provide valuable information about the volatility of the process within that period. In this paper we...
Moment Explosions and Long-Term Behavior of Affine Stochastic Volatility Models
Moment Explosions Long-Term Behavior Affine Stochastic Volatility Models
2010/12/13
We consider a class of asset pricing models, where the risk-neutral joint process of log-price and its stochastic variance is an affine process in the sense of Duffie, Filipovic and Schachermayer [20...
Multivariate stochastic volatility using state space models
Multivariate stochastic volatility state space models
2010/12/13
A Bayesian procedure is developed for multivariate stochastic volatility, using state space models. An autoregressive model for the log-returns is employed. We generalize the inverted Wishart distrib...