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A new class of discrete-time stochastic volatility model with correlated errors

Mukhoti, Sujay; Ranjan, Pritam - In: Applied economics 51 (2019) 3, pp. 259-277

Persistent link: https://www.econbiz.de/10012160495

Dispersion-Constrained Martingale Schrödinger Problems and the Exact Joint S&P 500/VIX Smile Calibration Puzzle

Guyon, Julien - 2021

Grail of volatility modeling: build a model that jointly and exactly calibrates to the prices of S&P 500 (SPX) options, VIX … satisfy the martingality constraint on the SPX as well as the requirement that the VIX is the implied volatility of the 30-day … we call a dispersion-constrained martingale optimal transport problem, we establish a strong duality theorem and, as a …

Persistent link: https://www.econbiz.de/10013225268

Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles

Carr, Peter - 2011

construct the whole implied volatility surface and use the explicit constructions of calibrated (jump-) diffusions, available in …

Persistent link: https://www.econbiz.de/10013132624

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

Option pricing with discrete time jump processes

Guégan, Dominique; Ielpo, Florian; Lalaharison, Hanjarivo - In: Journal of economic dynamics & control 37 (2013) 12, pp. 2417-2445

Persistent link: https://www.econbiz.de/10010348134

Quadratic hedging schemes for non-Gaussian GARCH models

Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: Journal of economic dynamics & control 42 (2014), pp. 13-32

Persistent link: https://www.econbiz.de/10010426624

Asymptotic analysis for stochastic volatility : martingale expansion

Fukasawa, Masaaki - In: Finance and stochastics 15 (2011) 4, pp. 635-654

Persistent link: https://www.econbiz.de/10009423291

Option pricing for symmetric Lévy returns with applications

Hamza, Kais; Klebaner, Fima C.; Landsman, Zinoviy; Tan, … - In: Asia-Pacific financial markets 22 (2015) 1, pp. 27-52

Persistent link: https://www.econbiz.de/10010511553

Exact solution of a martingale stochastic volatility option problem and its empirical evaluation

Maghsoodi, Yoosef - In: Mathematical finance : an international journal of … 17 (2007) 2, pp. 249-265

Persistent link: https://www.econbiz.de/10003543128

Generalized BN-S stochastic volatility model for option pricing

SenGupta, Indranil - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-23

Persistent link: https://www.econbiz.de/10011455400