Search Results - subject:"stochastic volatility model"

Lee, Sangwook; Kim, Min Jae; Kim, Soo Yong - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 13, pp. 2531-2548

volatility model. The properties of mean reverting and volatility clustering are observed and reflected in this model. The … tail dependencies in both the upper-tail and lower-tail. Dynamic properties of interest rate are modeled by a stochastic …

Persistent link: https://www.econbiz.de/10010874326

Estimating stochastic volatility models using integrated nested Laplace approximations

Martino, Sara; Aas, Kjersti; Lindqvist, Ola; Neef, Linda; … - In: The European Journal of Finance 17 (2011) 7, pp. 487-503

Volatility in financial time series is mainly analysed through two classes of models; the generalized autoregressive conditional heteroscedasticity (GARCH) models and the stochastic volatility (SV) ones. GARCH models are straightforward to estimate using maximum-likelihood techniques, while SV...

Persistent link: https://www.econbiz.de/10009276907

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

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

Statistical inference for time-inhomogeneous volatility models

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

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

ARMA Representation of Two-Factor Models

Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2002

Many financial time series models are specified through a structural representation. Nonetheless, knowing their reduced ARMA form may be useful for impulse response analysis, filtering, forecasting, and for purposes of statistical inference. This ARMA representation is the analytical...

Persistent link: https://www.econbiz.de/10005100942

Asian Spread Option Pricing Models and Computation

Chen, Sijin 1979- - 2010

volatility model are developed and some numerical computation tests are conducted as well. …-European spread option pricing is proposed,several original approaches for the Black-Scholes-Merton model and a special stochastic …

Persistent link: https://www.econbiz.de/10009456489