Search Results - subject:"stochastic volatility model"

Pricing multi-asset American option under Heston stochastic volatility model

Samimi, Oldouz; Mehrdoust, Farshid - In: International journal of financial engineering 5 (2018) 3, pp. 1-16

Persistent link: https://www.econbiz.de/10011923057

Comparison of the Korean and US stock markets using continuous-time stochastic volatility models

Choi, Seungmoon - In: Han gug gae bal yeon gu 40 (2018) 4, pp. 1-22

Persistent link: https://www.econbiz.de/10011954453

Model-based and empirical analyses of stochastic fluctuations in economy and finance

Zadourian, Rubina - 2018

Persistent link: https://www.econbiz.de/10011914214

GMM estimation of a realized stochastic volatility model : a Monte Carlo study

Chaussé, Pierre; Xu, Dinghai - In: Econometric reviews 37 (2018) 6/10, pp. 719-743

Persistent link: https://www.econbiz.de/10012040406

An empirical study on the measurement and determinants of macroeconomic uncertainty

Ulm, Maren - 2018

Persistent link: https://www.econbiz.de/10012115215

A hybrid Markov chain-tree valuation framework for stochastic volatility jump diffusion models

Nguyen, Duy - In: International journal of financial engineering 5 (2018) 4, pp. 1-30

Persistent link: https://www.econbiz.de/10012028829

Stochastic volatility in the Peruvian stock market and exchange rate returns : a Bayesian approximation

Alanya, Willy; Rodriguez, Gabriel - In: Journal of emerging market finance 17 (2018) 3, pp. 354-385

Persistent link: https://www.econbiz.de/10011964842

Select Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach

Xu, Dinghai; Li, Yuying - In: Frontiers of Economics in China 7 (2012) 1, pp. 22-43

volatility model estimation. We estimate the leveraged stochastic volatility model using the realized volatility computed from … the true volatility. In this paper, we study the potential use of the realized volatility as a proxy in a stochastic …

Persistent link: https://www.econbiz.de/10010888551

Baldovin-Stella stochastic volatility process and Wiener process mixtures

Peirano, Pier Paolo; Challet, Damien - HAL - 2012

Starting from inhomogeneous time scaling and linear decorrelation between successive price returns, Baldovin and Stella recently proposed a powerful and consistent way to build a model describing the time evolution of a financial index. We first make it fully explicit by using Student...

Persistent link: https://www.econbiz.de/10010593608

Quasi- Monte Carol methods for the Heston model

Baldeaux, Jan; Roberts, Dale - 2012

Persistent link: https://www.econbiz.de/10009564454