Search Results - subject:"STOCHASTIC VOLATILITY"

Stock Evolution under Stochastic Volatility: A Discrete Approach

Leisen, Dietmar P.J. - University of Bonn, Germany

This paper examines the pricing of options by approximating extensions of the Black-Scholes setup in which volatility follows a separate diffusion process. It gereralizes the well-known binomial model, constructing a discrete two-dimensional lattice. We discuss convergence issues extensively and...

Persistent link: https://www.econbiz.de/10004968228

A Market Model for Stochastic Implied Volatility

Schönbucher, Philpp J. - University of Bonn, Germany

In this paper a stochastic volatility model is presented that directly prescribes the stochastic development of the …

Persistent link: https://www.econbiz.de/10004968281

The Term Structure of Implied Volatility

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

with stochastic volatility. Explicit equilibrium risk adjustments and many other new results are provided. Mathematica code …

Persistent link: https://www.econbiz.de/10005067725

Introduction and Summary of Results (Excerpt)

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

with stochastic volatility. Explicit equilibrium risk adjustments and many other new results are provided. Mathematica code …

Persistent link: https://www.econbiz.de/10005797536

Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility

Medvedev, Alexey; Scaillet, Olivier

-diffusion stochastic volatility model when time-to-maturity is small. Based on numerical experiments we describe the range of time …

Persistent link: https://www.econbiz.de/10005222545

We introduce a new analytical approach to price American options. Using an explicit and intuitive proxy for the exercise rule, we derive tractable pricing formulas using a short-ma...

MEDVEDEV, Alexey; SCAILLET, Olivier

Persistent link: https://www.econbiz.de/10005162971

A Bayesian Analysis of Unobserved Component Models using Ox

Bos, Charles S. - Tinbergen Institute

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less …

Persistent link: https://www.econbiz.de/10008867496

The Fundamental Transform (Excerpt)

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

with stochastic volatility. Explicit equilibrium risk adjustments and many other new results are provided. Mathematica code …

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

Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities

Swishchuk, Anatoliy - World Scientific Publishing Co. Pte. Ltd.

as S&P60 Canada Index, S&P500 Index and AECO Natural Gas Index.<b>Contents:</b> <ul> <li>Stochastic Volatility</li> <li>Stochastic …>In particular, offers a comprehensive treatment of various types of swaps and a variety of stochastic volatility models, in relation … Volatility Models</li> <li>Swaps</li> <li>Change of Time Methods</li> <li>Black-Scholes Formula by Change of Time Method</li> <li …

Persistent link: https://www.econbiz.de/10011118313

Local scale models: state space alternative to integrated GARCH processes

Shephard, Neil - 1994

State space alternative to autoregressive conditional heteroskedasticity models are proposed. The initial model, which is labelled the Gaussian local scale model, has a measurement density which is Gaussian, conditional on the unobservable precision. The precision is assumed to be a gamma...

Persistent link: https://www.econbiz.de/10009441423