Search Results - subject:"stochastic volatility models"

Stochastic volatility, smile & asymptotics

Sircar, K. Ronnie; Papanicolaou, George - In: Applied Mathematical Finance 6 (1999) 2, pp. 107-145

We consider the pricing and hedging problem for options on stocks whose volatility is a random process. Traditional approaches, such as that of Hull and White, have been successful in accounting for the much observed smile curve, and the success of a large class of such models in this respect is...

Persistent link: https://www.econbiz.de/10005639867

Computationally attractive stability tests for the efficient method of moments

SLUIS, PIETER J. VAN DER - In: Econometrics Journal 1 (1998) ConferenceIssue, pp. 203-203

application is made to stochastic volatility models for daily returns of the S&P500 index ranging from 1981 to 1993. The tests do … volatility models. For these types of models and datasets, readily available structural stability tests are important as these … computationally intensive estimators for the post-sample data. Evaluation of these tests is performed in the context of stochastic …

Persistent link: https://www.econbiz.de/10005100121

EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments

van der Sluis, Pieter J. - In: Studies in Nonlinear Dynamics & Econometrics 2 (1997) 3

efficient method of moments implemented to estimate stochastic volatility models, this will surely be the case; therefore, the … moments technique for a broad range of univariate stochastic volatility models. As a side effect of the efficient method of … case of stochastic volatility models, and it describes the program. Some examples are given from other work of the author …

Persistent link: https://www.econbiz.de/10014620802