Search Results - subject:"stochastic volatility models"

Forecasting stochastic volatility characteristics for the financial fossil oil market densities

Solibakke, Per Bjarte - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-17

This paper builds and implements multifactor stochastic volatility models for the international oil/energy markets … important for market participants, implying predictability. The paper estimates multifactor stochastic volatility models for …

Persistent link: https://www.econbiz.de/10012794710

Deep learning-based option pricing for Barndorff-Nielsen and Shephard model

Arai, Takuji - In: International journal of financial engineering 10 (2023) 3, pp. 1-16

Persistent link: https://www.econbiz.de/10014444476

Shot-noise cojumps : exact simulation and option pricing

Qu, Yan; Dassios, Angelos; Zhao, Hongbiao - In: Journal of the Operational Research Society 74 (2023) 3, pp. 647-665

Persistent link: https://www.econbiz.de/10014331928

Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps

Zhang, Weinan; Zeng, Pingping; Kwok, Yue-Kuen - In: Operations research letters 51 (2023) 6, pp. 687-694

Persistent link: https://www.econbiz.de/10014465892

Bayesian estimation and likelihood-based comparison of agent-based volatility models

Bertschinger, Nils; Mozzhorin, Iurii - In: Journal of Economic Interaction and Coordination 16 (2020) 1, pp. 173-210

finance. GARCH and stochastic volatility models have been extensively studied and are routinely fitted to market data, albeit … and stochastic volatility families. We find that the best agent-based models are on par with stochastic volatility models …

Persistent link: https://www.econbiz.de/10014503765

Variance and interest rate risk in unit-linked insurance policies

Baños, David; Lagunas-Merino, Marc; Ortiz-Latorre, Salvador - In: Risks 8 (2020) 3, pp. 1-23

this paper, we consider a general class of stochastic volatility models written in forward variance form. We also deal with …

Persistent link: https://www.econbiz.de/10013200617

Variance and interest rate risk in unit-linked insurance policies

Baños, David; Lagunas-Merino, Marc; Ortiz-Latorre, Salvador - In: Risks : open access journal 8 (2020) 3/84, pp. 1-23

this paper, we consider a general class of stochastic volatility models written in forward variance form. We also deal with …

Persistent link: https://www.econbiz.de/10012293269

The characteristic function of Gaussian stochastic volatility models : an analytic expression

Abi Jaber, Eduardo - In: Finance and stochastics 26 (2022) 4, pp. 733-769

Persistent link: https://www.econbiz.de/10013440250

Pricing options on the maximum of two average prices under stochastic volatility models

Wang, Xingchun - In: Applied economics letters 29 (2022) 10, pp. 887-894

Persistent link: https://www.econbiz.de/10013411818

Approximate option pricing formula for Barndorff-Nielsen and Shephard model

Arai, Takuji - In: International journal of theoretical and applied … 25 (2022) 2, pp. 1-26

Persistent link: https://www.econbiz.de/10013189954