Search Results - subject:"Volatility Model"

Tractable hedging with additional hedge instruments

Branger, Nicole; Mahayni, Antje - In: Review of Derivatives Research 14 (2011) 1, pp. 85-114

Persistent link: https://www.econbiz.de/10008926020

OPTION PRICING AND EXECUTIVE STOCK OPTION INCENTIVES: AN EMPIRICAL INVESTIGATION UNDER GENERAL ERROR DISTRIBUTION STOCHASTIC VOLATILITY MODEL

PAN, MIN; TANG, SHENGQIAO - In: Asia-Pacific Journal of Operational Research (APJOR) 28 (2011) 01, pp. 81-93

general error distribution stochastic volatility model, involving both the features of the stock return volatility and the … stochastic volatility model using the Markov Chain Monte Carlo method with Shanghai & Shenzhen 300 Index in China as a sample … model under general error distribution stochastic volatility model. The results show that the general error distribution …

Persistent link: https://www.econbiz.de/10008852560

Gamma expansion of the Heston stochastic volatility model

Glasserman, Paul; Kim, Kyoung-Kuk - In: Finance and Stochastics 15 (2011) 2, pp. 267-296

Persistent link: https://www.econbiz.de/10009149761

Forward and future implied volatility

Glasserman, Paul; Wu, Qi - In: International journal of theoretical and applied finance 14 (2011) 3, pp. 407-432

Persistent link: https://www.econbiz.de/10009154904

Estimating stochastic volatility models using integrated nested Laplace approximations

Martino, Sara; Aas, Kjersti; Lindqvist, Ola; Neef, Linda R. - In: The European journal of finance 17 (2011) 7/8, pp. 487-503

Persistent link: https://www.econbiz.de/10009509861

Tractable hedging with additional hedge instruments

Branger, Nicole; Mahayni, Antje - In: Review of derivatives research 14 (2011) 1, pp. 85-114

Persistent link: https://www.econbiz.de/10009272489

Statistical inference for time-inhomogeneous volatility models

Mercurio, Danilo; Spokoiny, Vladimir G. - 2002

This paper offers a new approach for estimation and forecasting of the volatility of financial time series. No assumption is made about the parametric form of the processes, on the contrary we only suppose that the volatility can be approximated by a constant over some interval. In such a...

Persistent link: https://www.econbiz.de/10010310541

An application of the analogy between vector ARCH and vector random coefficient autoregressive models

He, Changli; Teräsvirta, Timo - 2002

In this paper we derive conditions for the conditional covariance matrix to be positive definite in a general vector ARCH model. The conditions can be easily extended to the diagonal vector GARCH model. For the general vector GARCH model, analytical expressions for the conditions in terms of the...

Persistent link: https://www.econbiz.de/10010281189

Statistical inference for time-inhomogeneous volatility models

Mercurio, Danilo; Spokoiny, Vladimir G. - Sonderforschungsbereich 373, Quantifikation und … - 2002

Persistent link: https://www.econbiz.de/10010956464

A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models

Bhar, Ram; Chiarella, Carl; To, Thuy Duong - Finance Discipline Group, Business School - 2002

the estimation of a humped forward rate volatility model for Eurodollar futures series traded on the Chicago Mercantile …

Persistent link: https://www.econbiz.de/10004984491