Search Results - subject:"Stochastic Volatility Model"

Option pricing under Ornstein-Uhlenbeck stochastic volatility : a linear model

Bormetti, Giacomo; Cazzola, Valentina; Delpini, Danilo - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1047-1063

Persistent link: https://www.econbiz.de/10008906216

Time inhomogeneous multiple volatility modelling

Härdle, Wolfgang; Herwartz, Helmut; Spokoiny, Vladimir G. - 2001

Price variations observed at speculative markets exhibit positive autocorrelation and cross correlation among a set of assets, stock market indices, exchange rates etc. A particular problem in investigating multivariate volatility processes arises from the high dimensionality implied by a...

Persistent link: https://www.econbiz.de/10010310365

Time inhomogeneous multiple volatility modelling

Härdle, Wolfgang; Herwartz, Helmut; Spokoiny, Vladimir G. - Sonderforschungsbereich 373, Quantifikation und … - 2001

Persistent link: https://www.econbiz.de/10010983787

A general framework for the derivation of asset price bounds: an application to stochastic volatility option models

Bondarenko, Oleg; Longarela, Iñaki - In: Review of Derivatives Research 12 (2009) 2, pp. 81-107

Persistent link: https://www.econbiz.de/10005016333

Optionsbewertung unter Berücksichtigung stochastischer Volatilität

Tallau, Christian - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 38 (2009) 1, pp. 14-19

Persistent link: https://www.econbiz.de/10003798963

Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance

Gallant, A. Ronald; Hsu, Chien-Te; Tauchen, George - 1999

A common model for security price dynamics is the continuous-time stochastic volatility model. For this model, Hull and …

Persistent link: https://www.econbiz.de/10009475602

Forecasting volatility of SSEC in Chinese stock market using multifractal analysis

Wei, Yu; Wang, Peng - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 7, pp. 1585-1592

volatility model, stochastic volatility model and GARCH, are evaluated by the superior prediction ability (SPA) test. The …

Persistent link: https://www.econbiz.de/10011061853

A note on wavelet density deconvolution for weakly dependent data

Zanten, Harry; Zareba, Pawel - In: Statistical Inference for Stochastic Processes 11 (2008) 2, pp. 207-219

Persistent link: https://www.econbiz.de/10005616051

Efficient pricing algorithms for exotic derivatives

Lord, Roger - 2008

Persistent link: https://www.econbiz.de/10003775897

A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model

Guo, Jia-Hau; Hung, Mao-Wei - In: Applied Mathematical Finance 14 (2007) 4, pp. 339-345

Although quasi-analytic formulas can be derived for European-style financial claims in Heston's stochastic volatility … model, the inverse Fourier integration involved makes the calculation somewhat complicated. This challenge has puzzled …

Persistent link: https://www.econbiz.de/10005495427