Double Gamma Stochastic Volatility Model in Discrete Time

In an affine term structure framework we propose a discrete time stochastic volatility model. We derive the characteristic function of the log swap rate under swap measure. Having the characteristic function, we employ the Fourier cosine (COS) technique to price swaptions. Using data on tweleve years of swap rates and swaption premiums, model parameters are estimated using an unscented Kalman filter algorithm

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Year of publication:	2017
Authors:	Hirsa, Ali
Other Persons:	Heidari, Massoud (contributor) ; Madan, Dilip B. (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Theorie \| Theory \| ARCH-Modell \| ARCH model \| Kapitaleinkommen \| Capital income

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Extent:	1 Online-Ressource (21 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 21, 2010 erstellt
Other identifiers:	10.2139/ssrn.2955794 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012958226