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Estimating spot volatility under infinite variation jumps with dependent market microstructure noise

Liu, Qiang; Liu, Zhi - In: The econometrics journal 27 (2024) 2, pp. 278-298

Persistent link: https://www.econbiz.de/10015046377

Improving score-driven density forecasts with an application to implied volatility surface dynamics

Zou, Xia; Lin, Yicong; Lucas, André - 2025

for the implied volatility surface of S&P500 index options data. …

Persistent link: https://www.econbiz.de/10015408437

A Unified Stochastic Volatility - Stochastic Correlation Model

Meissner, Gunter A. - 2020

We propose a simple but rigorous stochastic volatility – stochastic correlation model, formulated as a pair of … correlated CIRCEV and Jacobi processes. Our model proves to fit both marginal and joint distributions of implied volatility and …

Persistent link: https://www.econbiz.de/10012836321

Univariate and multivariate GARCH models applied to Bitcoin futures option pricing

Venter, Pierre J.; Maré, Eben - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14

In this paper, the Heston-Nandi futures option pricing model is applied to Bitcoin futures options. The model prices are compared to market prices to give an indication of the pricing performance. In addition, a multivariate Bitcoin futures option pricing methodology based on a multivatiate...

Persistent link: https://www.econbiz.de/10012588206