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Calibration of local correlation models to basket smiles

Guyon, Julien - In: The journal of computational finance 21 (2017) 1, pp. 1-51

Persistent link: https://www.econbiz.de/10011691606

VIX derivatives valuation and estimation based on closed-form series expansions

Zhao, Zhe; Cui, Zhenyu; Florescu, Ionuţ - In: International journal of financial engineering 5 (2018) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10011923012

A note on the impact of parameter uncertainty on barrier derivatives

Escobar, Marcos; Panz, Sven - In: Risks : open access journal 4 (2016) 4, pp. 1-25

This paper presents a comprehensive extension of pricing two-dimensional derivatives depending on two barrier constraints. We assume randomness on the covariance matrix as a way of generalizing. We analyse common barrier derivatives, enabling us to study parameter uncertainty and the risk...

Persistent link: https://www.econbiz.de/10011556565

Estimating Correlated Jumps and Stochastic Volatilities

Witzany, Jiri - 2011

We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC … stock (PX index) returns. Four bivariate models with and without jumps and/or stochastic volatility are compared using the … deviance information criterion (DIC) confirming importance of incorporation of jumps and stochastic volatility into the model …

Persistent link: https://www.econbiz.de/10013121407

Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps

Bibinger, Markus; Vetter, Mathias - 2013

We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are irregularly spaced under high-frequency asymptotics. In the univariate setting, results from Jacod (2008) are generalized to the case of irregular observations. In the two-dimensional...

Persistent link: https://www.econbiz.de/10009745914

Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps

Itkin, Andrey - In: Applied mathematical finance 24 (2017) 5/6, pp. 485-519

Persistent link: https://www.econbiz.de/10011815291

Stationary covariance regime for affine stochastic covariance models in Hilbert spaces

Friesen, Martin; Karbach, Sven - In: Finance and stochastics 28 (2024) 4, pp. 1077-1116

Persistent link: https://www.econbiz.de/10015130554

Orthogonal polynomial expansions for the valuation of options under the stochastic volatility models with stochastic correlation

Tong, Kevin Z. - In: Journal of management science and engineering 9 (2024) 2, pp. 239-253

This work provides a new method for pricing options under the generalized stochastic volatility models with Jacobi … stochastic correlation. Our method is based on the observation that the generalized models belong to the class of polynomial … and Schöbel-Zhu models with stochastic correlation as two specific examples and are able to derive the analytical formulas …

Persistent link: https://www.econbiz.de/10014632198

A stochastically correlated bivariate square-root model

Silva, Allan Jonathan da; Baczynski, Jack; Vicente, … - In: International Journal of Financial Studies : open … 12 (2024) 2, pp. 1-24

is, via a constant correlation coefficient. Note that closed-form solutions for the conditional characteristic and moment …

Persistent link: https://www.econbiz.de/10014636327

Valuation of options on discretely sampled variance : a general analytic approximation

Drimus, Gabriel; Farkas, Walter; Gourier, Elise - In: The journal of computational finance 20 (2016) 2, pp. 39-66

Persistent link: https://www.econbiz.de/10011656703