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Option Pricing with Stochastic Volatility and Jump Diffusion Processes

Lupu, Radu - In: Theoretical and Applied Economics 3(498) (2006) 3(498), pp. 125-130

Option pricing by the use of Black Scholes Merton (BSM) model is based on the assumption that asset prices have a lognormal distribution. In spite of the use of these models on a large scale, both by practioners and academics, the assumption of lognormality is rejected by the history of returns....

Persistent link: https://www.econbiz.de/10005099704

Analiza riscului în evaluarea oportunitatilor internationale de investitii. Perspective în modelarea si previzionarea volatilitatii utilizate în estimarea riscului

Matei, Marius - Institutul de Prognoza Economica, Institutul National … - 2009

empiric. Am sugerat ca pentru portofoliile formate din sute si mii de variabile, Principal Component-GARCH este modelul … potrivit de utilizat pentru previzionarea volatilitatii. Calitatile modelului PC-GARCH sunt puse în valoare din perspectiva … acestuia de minimizare a eforturilor computationale (prin transformarea modelelor multivariate GARCH în modele univariate …

Persistent link: https://www.econbiz.de/10008472196

Price Volatility, Expectations and Monetary Policy in Nigeria

Olumide, Ajimuda - In: Annals - Economy Series 1 (2009) May, pp. 109-140

likelihood estimator in addition to the GARCH (p, q model) to estimate the steady state model of inflation. As a measure of … volatility, the conditional standard deviation for inflation was obtained from the GARCH model. Inflation expectation was solved …

Persistent link: https://www.econbiz.de/10008459912