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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 ...
Arbitrage-free SVI volatility surfaces
Arbitrage-free SVI volatility surfaces Pricing of Securities
2012/4/28
In this article, we show how to calibrate the widely-used SVI parameterization of the implied volatility surface in such a way as to guarantee the absence of static arbitrage. In particular, we exhibi...
Local Volatility Pricing Models for Long-dated FX Derivatives
Local volatility Stochastic volatility Foreign Exchange Stochastic interest rates Calibration
2012/4/28
We study the local volatility function in the Foreign Exchange market where both domestic and foreign interest rates are stochastic. This model is suitable to price long-dated FX derivatives. We deriv...
Pricing Variable Annuity Guarantees in a Local Volatility framework
Pricing Variable Annuity Guarantees Local Volatility framework Pricing of Securities
2012/4/28
In this paper, we study the price of Variable Annuity Guarantees, especially of Guaranteed Annuity Options (GAO) and Guaranteed Minimum Income Benefit (GMIB), and this in the settings of a derivative ...
Arbitrage hedging strategy and one more explanation of the volatility smile
step-like contrast structure semi-linear parabolic equation arbitrage option hedging strategy volatility smile
2011/3/23
We present an explicit hedging strategy, which enables to prove arbitrageness of market incorporating at least two assets depending on the same random factor. The implied Black-Scholes volatility, com...
Homogeneous Volatility Bridge Estimators
volatility variance estimators efficiency Wiener processes homoge-neous functions
2010/11/3
We present a theory of homogeneous volatility bridge estimators for log-price stochastic processes. The main tool of our theory is the parsimonious encoding of the information contained in the open, h...
Volatility forecasts and the at-the-money implied volatility: a multi-components ARCH approach and its relation with market models
Volatility forecasts at-the-money implied relation
2010/10/29
For a given time horizon T, this article explores the relationship between the realized volatility (the volatility that will occur between t and t + T), the implied volatility (corresponding to at-t...
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...