Search Results - subject:"STOCHASTIC VOLATILITY"

Modelling Exchange Rates in Continuous Time: Theory, Estimation and Option Pricing

Perraudin, William; Sørensen, Bent - Økonomisk Institut, Københavns Universitet - 1994

allows for: (i) stochastic volatility, (ii) non-diversifiable jump risk, and (iii) stochastic interest rates. Using … data set, jumps and stochastic volatility have little impact on option pricing, if one knows the average volatility over …

Persistent link: https://www.econbiz.de/10005543481

On Smile and Skewness

Platen, Eckhard; Schweizer, Martin - University of Bonn, Germany - 1994

induced by hedging strategies. This leads to a stochastic volatility endogenously determined by agents' trading behaviour …

Persistent link: https://www.econbiz.de/10004968203

Neglected Common Factors in Exchange Rate Volatility

Mahieu, Ronald; Schotman, Peter - European Science Foundation Network in Financial … - 1994

The paper proposes a new multivariate model for exchange rate volatility in a system of bilateral exchange rates, using a factor structure of exchange rates one of the common factors is always related to the numeraire currency. Time variation in the volatility is modelled using a stochastic...

Persistent link: https://www.econbiz.de/10005656115

Option Pricing under Incompleteness and Stochastic Volatility

Hofmann, N.; Platen, E.; Schweizer, M. - University of Bonn, Germany - 1992

We consider a very general diffusion model for asset prices which allows the description of stochastic and past-dependent volatilities. Since this model typically yields an incomplete market, we show that for the purpose of pricing options, a small investor should use the minimal equivalent...

Persistent link: https://www.econbiz.de/10005028474

The Pricing of Japanese Equity Warrants

Kuwahara, Hiroto; Marsh, Terry A. - In: Management Science 38 (1992) 11, pp. 1610-1641

part by the stochastic volatility of changes in prices of the underlying stocks. We fit GARCH and EGARCH models to the … stochastic volatility and briefly compare their performance to the CEV model. A hopscotch algorithm is used to value the warrants … in the presence of the stochastic stock price volatility. The stochastic volatility-hopscotch warrant values still differ …

Persistent link: https://www.econbiz.de/10009191190

Generalized dynamic linear models for financial time series

Patrizia, Campagnoli; Pietro, Muliere; Sonia, Petrone - Facoltà di Economia, Università degli Studi dell'Insubria

of stochastic volatility. Estimation can be computed by recursive equations, which provide the optimal solution under …

Persistent link: https://www.econbiz.de/10005827403

Option Valuation under Stochastic Volatility

Lewis, Alan L. - Finance Press

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

Persistent link: https://www.econbiz.de/10005696665

STOCHASTIC FILTERING WITH APPLICATIONS IN FINANCE:

Bhar, Ramaprasad - World Scientific Publishing Co. Pte. Ltd.

This book provides a comprehensive account of stochastic filtering as a modeling tool in finance and economics. It aims to present this very important tool with a view to making it more popular among researchers in the disciplines of finance and economics. It is not intended to give a complete...

Persistent link: https://www.econbiz.de/10008774003