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Persistent link: https://www.econbiz.de/10011778283
This paper studies the probability distribution and option pricing for drawdown in a stochastic volatility environment. Their analytical approximation formulas are derived by the application of a singular perturbation method (Fouque et al. [7]). The mathematical validity of the approximation is...
Persistent link: https://www.econbiz.de/10004995375
This paper proposes a new approach to style analysis by utilizing a general state space model and Monte Carlo filter. In particular,We regard coefficients of style indices as state variables in the state space model and apply Monte Carlo filter as estimation method. Moreover, an empirical...
Persistent link: https://www.econbiz.de/10008519722
This paper studies the probability distribution and option pricing for drawdown in a stochastic volatility environment. Their analytical approximation formulas are derived by the application of a singular perturbation method (Fouque et al. [7]). The mathematical validity of the approximation is...
Persistent link: https://www.econbiz.de/10008519723
This paper proposes a new approach to style analysis by utilizing a general state space model and Monte Carlo filter. In particular,We regard coefficients of style indices as state variables in the state space model and apply Monte Carlo filter as estimation method. Moreover, an empirical...
Persistent link: https://www.econbiz.de/10005187164
Persistent link: https://www.econbiz.de/10008860388
Persistent link: https://www.econbiz.de/10011524808
This work develops and estimates a three-factor term structure model with explicit sentiment factors in a period including the global financial crisis, where market confidence was said to erode considerably. It utilizes a large text data of real time, relatively high-frequency market news and...
Persistent link: https://www.econbiz.de/10012908630
In the paper, we propose a new calculation scheme for American options in the framework of a forward backward stochastic differential equation (FBSDE). The well known decomposition of an American option price with that of a European option of the same maturity and the remaining early exercise...
Persistent link: https://www.econbiz.de/10013097513
Persistent link: https://www.econbiz.de/10012309663