Search Results - subject:"stochastic volatility models"

A New Bayesian Unit Root Test in Stochastic Volatility Models

Li, Yong; Yu, Jun - School of Economics, Singapore Management University - 2010

volatility models. This analysis extends the Bayesian unit root test of So and Li (1999, Journal of Business Economic Statistics …A new posterior odds analysis is proposed to test for a unit root in volatility dynamics in the context of stochastic …

Persistent link: https://www.econbiz.de/10008725922

A fast calibrating volatility model for option pricing

Date, Paresh; Islyaev, Suren - In: European Journal of Operational Research 243 (2015) 2, pp. 599-606

than the calibration of commonly used stochastic volatility models, such as the Heston model or Bates model. On 15 …

Persistent link: https://www.econbiz.de/10011209297

A fast calibrating volatility model for option pricing

Date, Paresh; Islyaev, Suren - In: European journal of operational research : EJOR 243 (2015) 2, pp. 599-606

Persistent link: https://www.econbiz.de/10010510013

Modeling exchange rate dynamics in Egypt : observed and unobserved volatility

Rofael, Dina; Hosni, Rana - In: Modern economy 6 (2015) 1, pp. 65-80

Persistent link: https://www.econbiz.de/10011285372

Explicit approximate analytic formulas for timer option pricing with stochastic interest rates

Ma, Jingtang; Deng, Dongya; Lai, Yongzeng - In: The North American journal of economics and finance : a … 34 (2015), pp. 1-21

Persistent link: https://www.econbiz.de/10011539653

Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models

Fonseca, José da; Gnoatto, Alessandro; Grasselli, Martino - In: Operations research letters 43 (2015) 6, pp. 601-607

Persistent link: https://www.econbiz.de/10011416324

From smile asymptotics to market risk measures

Sircar, Kaushik Ronnie; Sturm, Stephan - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 400-425

Persistent link: https://www.econbiz.de/10011350605

The 3/2 model as a stochastic volatility approximation for a large-basket price-weighted index

Hambly, Ben; Vaicenavicius, Juozas - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-25

Persistent link: https://www.econbiz.de/10011403929

Fast Hilbert transform algorithms for pricing discrete timer options under stochastic volatility models

Zeng, Pingping; Kwok, Yue-Kuen; Zheng, Wendong - In: International journal of theoretical and applied finance 18 (2015) 7, pp. 1-26

Persistent link: https://www.econbiz.de/10011404362

Stochastic volatility models with persistent latent factors: theory and its applications to asset prices

Park, Joon Y. (contributor) - 2008

We consider the stochastic volatility model with smooth transition and persistent la-tent factors. We argue that this model has advantages over the conventional stochasticmodel for the persistent volatility factor. Though the linear filtering is widely usedin the state space model, the...

Persistent link: https://www.econbiz.de/10009464805

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