Search Results - subject:"GARCH diffusion"

Quadrinomial trees with stochastic volatility to value real options

Marín-Sánchez, Freddy H.; Pareja-Vasseur, Julián A.; … - In: Journal of Economics, Finance and Administrative Science 26 (2021) 52, pp. 282-299

differential equations of the GARCH-diffusion type to value real options when the volatility is stochastic. Findings - Findings …

Persistent link: https://www.econbiz.de/10013192207

Quadrinomial trees with stochastic volatility to value real options

Marín-Sánchez, Freddy H.; Pareja-Vasseur, Julián A.; … - In: Journal of economics, finance & administrative science 26 (2021) 52, pp. 282-299

differential equations of the GARCH-diffusion type to value real options when the volatility is stochastic. Findings - Findings …

Persistent link: https://www.econbiz.de/10012813881

Pricing vulnerable options with stochastic volatility and stochastic interest rate

Ma, Chaoqun; Yue, Shengjie; Wu, Hui; Ma, Yong - In: Computational economics 56 (2020) 2, pp. 391-429

Persistent link: https://www.econbiz.de/10012272041

Weak diffusion limits of dynamic conditional correlation models

Hafner, Christian M.; Laurent, Sebastien; Violante, … - School of Economics and Management, University of Aarhus - 2015

The properties of dynamic conditional correlation (DCC) models are still not entirely understood. This paper fills one of the gaps by deriving weak diffusion limits of a modified version of the classical DCC model. The limiting system of stochastic differential equations is characterized by a...

Persistent link: https://www.econbiz.de/10011122366

Pricing an European gas storage facility using a continuous-time spot price model with GARCH diffusion

Schlüter, Stephan; Davison, Matt - Wirtschafts- und Sozialwissenschaftliche Fakultät, … - 2010

continuous-time model by incorporating GARCH diffusion into an Ornstein-Uhlenbeck process. Based on this price process we use …

Persistent link: https://www.econbiz.de/10008518272

Pricing an European gas storage facility using a continuous-time spot price model with GARCH diffusion

Schlüter, Stephan; Davison, Matt - 2010

continuous-time model by incorporating GARCH diffusion into an Ornstein-Uhlenbeck process. Based on this price process we use …

Persistent link: https://www.econbiz.de/10010299993

The Continuous Limit of GARCH Processess

Alexandra, Carol; Lazar, Emese - Henley Business School, University of Reading - 2005

Contrary to popular belief, the diffusion limit of a GARCH variance process is not a diffusion model unless one makes a very specific assumption that cannot be generalized. In fact, the normal GARCH(1,1) prices of European call and puts are identical to the Black-Scholes prices based on the...

Persistent link: https://www.econbiz.de/10005558306

Warrant pricing under GARCH diffusion model

Wu, Xin-yu; Ma, Chao-qun; Wang, Shouyang - In: Economic modelling 29 (2012) 6, pp. 2237-2244

Persistent link: https://www.econbiz.de/10009673781

Warrant pricing under GARCH diffusion model

Wu, Xin-Yu; Ma, Chao-Qun; Wang, Shou-Yang - In: Economic Modelling 29 (2012) 6, pp. 2237-2244

The GARCH diffusion model has attracted a great deal of attention in recent years, as it is able to describe financial … underlying asset follows the GARCH diffusion model. An analytical approximate solution for European option prices is derived by … enables us to investigate the volatility smile implied by the GARCH diffusion model. Then a method is developed to provide the …

Persistent link: https://www.econbiz.de/10010588253

The Fundamental Transform (Excerpt)

Lewis, Alan L. - In: Option Valuation under Stochastic Volatility

This book provides an advanced treatment of option valuation. The general setting is that of 2D continuous-time models with stochastic volatility. Explicit equilibrium risk adjustments and many other new results are provided. Mathematica code for the more important formulas is included. For a...

Persistent link: https://www.econbiz.de/10005670831