Search Results - subject:"Stochastic volatilities"

Analytical approximations of local-Heston volatility model and error analysis

Bompis, R.; Gobet, E. - In: Mathematical finance : an international journal of … 28 (2018) 3, pp. 920-961

Persistent link: https://www.econbiz.de/10011969079

A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities

Aktar, Yalçin; Taflin, Erik - In: Mathematics and financial economics 8 (2014) 4, pp. 489-509

Persistent link: https://www.econbiz.de/10010491879

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

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

<i>Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities</i> is devoted to the … and energy markets with different stochastic volatilities, which include CIR process, regime-switching, delayed, mean …>Modeling and Pricing of Swaps for Heston Model</li> <li>Modeling and Pricing of Variance Swaps for Stochastic Volatilities with …

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

A Simple Regime-Switching Model for Stochastic Volatilities

Christopeit, Norbert; Cron, Axel - University of Bonn, Germany - 1997

In this paper, a simple Markov switching model for the volatility of financial returns is presented. We discuss a moment estimation procedure and develop forecasts for future squared volatilities.

Persistent link: https://www.econbiz.de/10005032158

A NUMERICAL ANALYSIS OF THE EXTENDED BLACK–SCHOLES MODEL

ALBEVERIO, SERGIO; POPOVICI, ALEX; STEBLOVSKAYA, VICTORIA - In: International Journal of Theoretical and Applied … 09 (2006) 01, pp. 69-89

by Albeverio and Steblovskaya [1] (a multidimensional model with stochastic volatilities and correlations) are presented …

Persistent link: https://www.econbiz.de/10004977453