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Conditional density models for asset pricing

Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - 2010

along with the specification of (a) the initial density, and (b) the volatility structure of the density. The volatility …

Persistent link: https://www.econbiz.de/10008797695

Jump factor models in large cross‐sections

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456

We develop tests for deciding whether a large cross‐section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing...

Persistent link: https://www.econbiz.de/10012042424

FX smile in the Heston model

Janek, Agnieszka; Kluge, Tino; Weron, Rafał; Wystup, Uwe - 2010

The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the … process for the volatility is nonnegative and mean-reverting, which is what we observe in the markets. Secondly, there exists …. -- Heston model ; vanilla option ; stochastic volatility ; Monte Carlo simulation ; Feller condition ; option pricing with FFT …

Persistent link: https://www.econbiz.de/10008663372

A diffusion approximation for the riskless profit under selling of discrete time call options : non-identically distributed jumps

Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005

Persistent link: https://www.econbiz.de/10002569872

A diffusion approximation for the riskless profit under selling of discrete time call options : non-identically distributed jumps

Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005

Brownian motion. -- asymptotic uniformity ; local limit theorem ; volatility …

Persistent link: https://www.econbiz.de/10009728974

Stochastic Areas of Diffusions and Applications in Risk Theory

Cui, Zhenyu - 2013

In this paper we study the stochastic area swept by a regular time-homogeneous diffusion till a stopping time. This unifies some recent literature in this area. Through stochastic time change we establish a link between the stochastic area and the stopping time of another associated...

Persistent link: https://www.econbiz.de/10013072263

Density of Generalized Verhulst Process and Bessel Process with Constant Drift

Cui, Zhenyu - 2016

In this paper we derive exact closed-form density functions of the generalized Verhulst process (see Mackevicius (2015), Jakubowski and Wisniewolski (2015)), and the Bessel process with a constant drift (see Coman et al (1998), Linetsky (2004)), which have applications in mathematical biology...

Persistent link: https://www.econbiz.de/10012995244

Modellierung von Finanzmärkten durch Sprung-Diffusions-Prozesse

Volz, Thilo - 2002

Persistent link: https://www.econbiz.de/10001643626

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

The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...

Persistent link: https://www.econbiz.de/10001656178