Search Results - subject:"Stochastic volatility."

American put options with regime-switching volatility

Jang, Bong-Gyu; Koo, Hyeng-keun - In: Journal of derivatives and quantitative studies : … 32 (2024) 2, pp. 86-115

We present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the option price can be expressed as the sum of two components: the price of a European put option and the premium associated with the early exercise privilege. Our analysis...

Persistent link: https://www.econbiz.de/10015054085

Orthogonal polynomial expansions for the valuation of options under the stochastic volatility models with stochastic correlation

Tong, Kevin Z. - In: Journal of management science and engineering 9 (2024) 2, pp. 239-253

This work provides a new method for pricing options under the generalized stochastic volatility models with Jacobi …

Persistent link: https://www.econbiz.de/10014632198

Multivariate stochastic volatility modeling via integrated nested laplace approximations : a multifactor extension

Nacinben, João Pedro Coli de Souza Monteneri; Laurini, … - In: Econometrics : open access journal 12 (2024) 1, pp. 1-28

This study introduces a multivariate extension to the class of stochastic volatility models, employing integrated … nested Laplace approximations (INLA) for estimation. Bayesian methods for estimating stochastic volatility models through … aims to establish a computationally efficient approach for estimating multivariate stochastic volatility models. We propose …

Persistent link: https://www.econbiz.de/10014636390

Test of volatile behaviors with the asymmetric stochastic volatility model : an implementation on Nasdaq-100

Suleymanov, Elchin; Gubadli, Magsud; Yagubov, Ulvi - In: Risks : open access journal 12 (2024) 5, pp. 1-18

The present study aimed to investigate the presence of asymmetric stochastic volatility and leverage effects within the …. Using the results of the asymmetric stochastic volatility model, we evaluated both the Nasdaq-100 index as a whole and the …

Persistent link: https://www.econbiz.de/10014636604

Risk sensitive linear approximations

Solórzano Andrade, Gustavo; Parra-Alvarez, Juan Carlos - In: Economics letters 238 (2024), pp. 1-5

Persistent link: https://www.econbiz.de/10015075489

Extreme weather shocks and state-level inflation of the United States

Liao, Wenting; Sheng, Xin; Gupta, Rangan; Karmakar, Sayar - In: Economics letters 238 (2024), pp. 1-8

Persistent link: https://www.econbiz.de/10015075593

Sophisticated and small versus simple and sizeable : when does it pay off to introduce drifting coefficients in Bayesian vector autoregressions?

Feldkircher, Martin; Gruber, Luis; Huber, Florian; … - In: Journal of forecasting 43 (2024) 6, pp. 2126-2145

Persistent link: https://www.econbiz.de/10015110374

Partisan conflict, trade policy uncertainty, and the energy market

Yang, Cai; Zhang, Hongwei; Qin, Yun; Niu, Zibo - In: Research in international business and finance 71 (2024), pp. 1-23

stochastic volatility. The results show that the pass-through effects of the PC and TPU shocks on energy return and volatility …

Persistent link: https://www.econbiz.de/10015061705

Modeling price and variance jump clustering using the marked Hawkes process

Chen, Jian; Clements, Michael P.; Urquhart, Andrew - In: Journal of financial econometrics 22 (2024) 3, pp. 743-772

Persistent link: https://www.econbiz.de/10015045178

Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models

Ignatieva, Ekaterina; Wong, Patrick - In: Journal of empirical finance 78 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015101647