Similar Search Results

Generalized mean-reverting 4/2 Factor Model

Cheng, Yuyang; Escobar, Marcos; Gong, Zhenxian - In: Journal of risk and financial management : JRFM 12 (2019) 4/159, pp. 121

functions in closed-form, which help with pricing and risk measure calculations. In a numerical example, we demonstrate the … implied volatility surface (up to 100%) and on two risk measures: value at risk and expected shortfall where an increase of up …

Persistent link: https://www.econbiz.de/10012172988

Effect of variance swap in hedging volatility risk

Shen, Yang - In: Risks : open access journal 8 (2020) 3/70, pp. 1-34

This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We … variance swap can be used to hedge against the volatility risk. In the second problem, only the bank account and the stock can … be traded in the market, which is incomplete since the idiosyncratic volatility risk is unhedgeable. Under an exponential …

Persistent link: https://www.econbiz.de/10012293125

Optimal dxecution with multiplicative price impact and incomplete information on the return

Dammann, Felix; Ferrari, Giorgio - 2022

We study an optimal liquidation problem with multiplicative price impact in which the trend of the asset's price is an unobservable Bernoulli random variable. The investor aims at selling over an infinite time-horizon a fixed amount of assets in order to maximize a net expected profit...

Persistent link: https://www.econbiz.de/10012880685

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

stochastic interest rates to obtain the risk-free price for unit-linked life insurance contracts, as well as providing a perfect …

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

A quantitative comparison of mortality models with jumps : pre- and post-COVID insights on insurance pricing

Şahin, Şule; Özen, Selin - In: Risks : open access journal 12 (2024) 3, pp. 1-24

Population events such as natural disasters, pandemics, extreme weather, and wars might cause jumps that have an immediate impact on mortality rates. The recent COVID-19 pandemic has demonstrated that these events should not be treated as nonrepetitive exogenous interventions. Therefore,...

Persistent link: https://www.econbiz.de/10014497417

Striking the balance : life insurance timing and asset allocation in financial planning

Chen, An; Ferrari, Giorgio; Zhu, Shihao - 2023

, where the bequest amount is fixed, distinct outcomes emerge based on different levels of risk aversion parameter γ: (i) the …

Persistent link: https://www.econbiz.de/10014438021

Parameter estimation of the Heston volatility model with jumps in the asset prices

Gruszka, Jarosław; Szwabiński, Janusz - In: Econometrics : open access journal 11 (2023) 2, pp. 1-26

The parametric estimation of stochastic differential equations (SDEs) has been the subject of intense studies already for several decades. The Heston model, for instance, is based on two coupled SDEs and is often used in financial mathematics for the dynamics of asset prices and their...

Persistent link: https://www.econbiz.de/10014362627

American put options with regime-switching volatility

Jang, Bong-Gyu; Koo, Hyeng-keun - In: Journal of derivatives and quantitative studies : … 32 (2024) 2, pp. 86-115

We present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the option price can be expressed as the sum of two components: the price of a European put option and the premium associated with the early exercise privilege. Our analysis...

Persistent link: https://www.econbiz.de/10015054085

Saddlepoint method for pricing European options under Markov-switching Heston’s stochastic volatility model

Zhang, Mengzhe; Chan, Leunglung - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-9

This paper evaluates the prices of European-style options when dynamics of the underlying asset is assumed to follow a Markov-switching Heston's stochastic volatility model. Under this framework, the expected return and the long-term mean of the variance of the underlying asset rely on states of...

Persistent link: https://www.econbiz.de/10013399717

A probabilistic approach for the valuation of variance swaps under stochastic volatility with jump clustering and regime switching

He, Xin-Jiang; Lin, Sha - In: Financial innovation : FIN 10 (2024), pp. 1-23

The effects of stochastic volatility, jump clustering, and regime switching are considered when pricing variance swaps. This study established a two-stage procedure that simplifies the derivation by first isolating the regime switching from other stochastic sources. Based on this, a novel...

Persistent link: https://www.econbiz.de/10015361659