Search Results - subject:"stochastic volatility models"

A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation

Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; … - Centre Interuniversitaire de Recherche en Analyse des … - 1999

The purpose of this paper is to propose a new class of jump diffusions which feature both stochastic volatility and random intensity jumps. Previous studies have focussed primarily on pure jump processes with constant intensity and log-normal jumps or constant jump intensity combined with a one...

Persistent link: https://www.econbiz.de/10005100581

Estimating integrated volatility using absolute high-frequency returns

Ysusi, Carla - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 177-200

When high-frequency data is available, in the context of a stochastic volatility model, realised absolute variation can estimate integrated spot volatility. A central limit theory enables us to do filtering and smoothing using model-based and model-free approaches in order to improve the...

Persistent link: https://www.econbiz.de/10005543994

Estimating integrated volatility using absolute high-frequency returns

Ysusi, Carla - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 177-200

Persistent link: https://www.econbiz.de/10008538690

What Data Should Be Used to Price Options?

Chernov, Mikhail; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 1998

In this paper we propose a generic procedure for estimating and pricing options in the context of stochastic volatility … models using simultaneously the fundamental price and a set of option contracts. We appraise univariate and multivariate …

Persistent link: https://www.econbiz.de/10005100549

EmmPack 1.01 : C/C++ code for use with Ox for estimation of univariate stochastic volatility models with the efficient method of moments

Sluis, Pieter J. van der - 1998

method of momentstechnique for a broad range of univariate stochastic volatility models. As a side effect of the … volatility models. It describes the program. Some examples are given from other workof the author. Technicalities are given in …. Thepaper serves as a manual for this library. It describes the efficient method of moments for this specificcase of stochastic …

Persistent link: https://www.econbiz.de/10010533201

QUADRATIC HEDGING FOR THE BATES MODEL

HUBALEK, FRIEDRICH; SGARRA, CARLO - In: International Journal of Theoretical and Applied … 10 (2007) 05, pp. 873-885

In the present paper we give some preliminary results for option pricing and hedging in the framework of the Bates model based on quadratic risk minimization. We provide an explicit expression of the mean-variance hedging strategy in the martingale case and study the Minimal Martingale measure...

Persistent link: https://www.econbiz.de/10004977443

ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS

SOUZA, MAX O.; ZUBELLI, JORGE P. - In: International Journal of Theoretical and Applied … 10 (2007) 05, pp. 817-835

We consider the asymptotic behavior of options under stochastic volatility models for which the volatility process …

Persistent link: https://www.econbiz.de/10005080471

Multiple time scales and the empirical models for stochastic volatility

Buchbinder, G.L.; Chistilin, K.M. - In: Physica A: Statistical Mechanics and its Applications 379 (2007) 1, pp. 168-178

The most common stochastic volatility models such as the Ornstein–Uhlenbeck (OU), the Heston, the exponential OU (ExpOU … approximation at separate times scales and will try to answer the question which of the stochastic volatility models indicated above …

Persistent link: https://www.econbiz.de/10010591216

Computationally attractive stability tests for the efficient method of moments

Sluis, Pieter J. van der - 1997

Estimation using simulation techniques may be very time consuming. Specification tests for structuralstability often require more than one of such computationally demanding estimators. Typically one for thesample, one for the post-sample and one for the combination of sample and post-sample is...

Persistent link: https://www.econbiz.de/10010339446

A new technique for calibrating stochastic volatility models: the Malliavin gradient method

Ewald, Christian-Oliver; Zhang, Aihua - In: Quantitative Finance 6 (2006) 2, pp. 147-158

We discuss the application of gradient methods to calibrate mean reverting stochastic volatility models. For this we …

Persistent link: https://www.econbiz.de/10005495801