Search Results - subject:"STOCHASTIC VOLATILITY"

ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications

Broadie, Mark; Detemple, Jerome B. - In: Management Science 50 (2004) 9, pp. 1145-1177

This paper surveys the literature on option pricing from its origins to the present. An extensive review of valuation methods for European- and American-style claims is provided. Applications to complex securities and numerical methods are surveyed. Emphasis is placed on recent trends and...

Persistent link: https://www.econbiz.de/10009198188

Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact

Silva, A. Christian; Prange, Richard E.; Yakovenko, … - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 227-235

analytical solution of the Heston model with stochastic volatility. …

Persistent link: https://www.econbiz.de/10010589080

Multifractal model of asset returns with leverage effect

Eisler, Z.; Kertész, J. - In: Physica A: Statistical Mechanics and its Applications 343 (2004) C, pp. 603-622

Multifractal processes are a relatively new tool of stock market analysis. Their power lies in the ability to take multiple orders of autocorrelations into account explicitly. In the first part of the paper we discuss the framework of the Lux model and refine the underlying phenomenological...

Persistent link: https://www.econbiz.de/10010590257

Free float and stochastic volatility: the experience of a small open economy

Selçuk, Faruk - In: Physica A: Statistical Mechanics and its Applications 342 (2004) 3, pp. 693-700

floating exchange rate system in February 2001. In this paper, an asymmetric stochastic volatility model of the foreign …

Persistent link: https://www.econbiz.de/10010590607

Application of Heston model and its solution to German DAX data

Remer, R.; Mahnke, R. - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 236-239

We compare two well-known examples of stochastic volatility models, the Heston model and the Hull–White model. We …

Persistent link: https://www.econbiz.de/10010591766

Stochastic volatility with leverage: fast likelihood inference

Shephard, Neil; Omori, Yashurio - Department of Economics, Oxford University - 2004

Kim, Shephard, and Chib (1998) provided a Bayesian analysis of stochastic volatility models based on a fast and … stochastic volatility models with leverage without altering the essence of the original approach. Several illustrative examples …

Persistent link: https://www.econbiz.de/10010661335

Martingale Tests of Value-at-Risk

Christoffersen, Peter; Berkowitz, Jeremy - Econometric Society - 2004

data from the Heston (1993) stochastic volatility model. From these simulated data we create daily returns, which are in …

Persistent link: https://www.econbiz.de/10005328970

Likelihood analysis of a first order autoregressive model with exponential innovations

Nielsen, Bent; Shephard, Neil - 2003

This paper derives the exact distribution of the maximum likelihood estimator of a first-order linear autoregression with an exponential disturbance term. We also show that, even if the process is stationary, the estimator is T-consistent, where T is the sample size. In the unit root case, the...

Persistent link: https://www.econbiz.de/10009441481

Equilibrium Pricing in Incomplete Markets

Jouini, Elyès; Bizid, Abdelhamid - EconWPA - 2003

depend on a particular choice of utility function. A stochastic volatility model is numerically investigated as an example …

Persistent link: https://www.econbiz.de/10005413106

Validity of discrete-time stochastic volatility models in non-synchronous equity markets

Solibakke, Per Bjarte - In: The European Journal of Finance 9 (2003) 5, pp. 420-448

The paper investigates the validity of versions of discrete-time stochastic volatility models for index series known to … the discrete-time stochastic volatility (SV) model. The EMM methodology confronts moment conditions generated by a score … construction shows that a classical discrete time stochastic volatility model is rejected. An extended model incorporating an …

Persistent link: https://www.econbiz.de/10005471922