Search Results - subject:"stochastic-time change"

The valuation of barrier options under a threshold rough Heston model

Tong, Kevin Z.; Liu, Allen - In: Journal of management science and engineering 8 (2023) 1, pp. 15-31

In this paper, we propose a novel model for pricing double barrier options, where the asset price is modeled as a threshold geometric Brownian motion time changed by an integrated activity rate process, which is driven by the convolution of a fractional kernel with the CIR process. The new model...

Persistent link: https://www.econbiz.de/10014315774

Analytical formulas for option prices under time-changed CARMA process

Tong, Zhigang - In: International journal of financial engineering 10 (2023) 3, pp. 1-24

Persistent link: https://www.econbiz.de/10014444664

A recursive pricing method for autocallables under multivariate subordination

Tong, Kevin Z. - In: Quantitative finance and economics 3 (2019) 3, pp. 440-455

Persistent link: https://www.econbiz.de/10012176549

Bayesian Estimation of Time-Changed Default Intensity Models

Gordy, Michael B.; Szerszen, Pawel J. - Federal Reserve Board (Board of Governors of the … - 2015

stochastic time-change. Our Bayesian MCMC estimation method overcomes nonlinearity in the measurement equation and state … time-change offers modest benefit in fitting the cross-section of CDS spreads at each point in time, but very large … stochastic volatility in this market. Relative to the widely-used CIR model for the default intensity, we find that stochastic …

Persistent link: https://www.econbiz.de/10011273702

Pricing industry loss warranties in a Lévy-Frailty framework

Beer, Simone; Braun, Alexander; Marugg, Andrin - In: Insurance / Mathematics & economics 89 (2019), pp. 171-181

Persistent link: https://www.econbiz.de/10012133526

The pricing of dual-expiry exotics with mean reversion and jumps

Tong, Kevin Z.; Hou, Dongping; Guan, Jianhua - In: Journal of mathematical finance 9 (2019) 1, pp. 25-41

Persistent link: https://www.econbiz.de/10012116663

Analytical pricing of discrete arithmetic Asian options under generalized CIR process with time change

Tong, Zhigang; Liu, Allen - In: International journal of financial engineering 5 (2018) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011922948

Option pricing with time-changed Lévy processes

Klingler, Sven; Kim, Young Shin; Račev, Svetlozar T.; … - In: Applied financial economics 23 (2013) 13/15, pp. 1231-1238

Persistent link: https://www.econbiz.de/10010204746

Analytical pricing formulas for discretely sampled generalized variance swaps under stochastic time change

Tong, Zhigang; Liu, Allen - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-24

Persistent link: https://www.econbiz.de/10011778268

Electricity price modeling with stochastic time change

Borovkova, Svetlana; Schmeck, Maren Diane - In: Energy economics 63 (2017), pp. 51-65

Persistent link: https://www.econbiz.de/10011757844