搜索结果: 1-15 共查到“理论经济学 stochastic volatility”相关记录24条 . 查询时间(0.223 秒)
Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration
Second Order Multiscale Stochastic Volatility Asymptotics Stochastic Terminal Layer Analysis Calibration
2012/9/14
Multiscale stochastic volatility models have been developed as an efficient way to capture the principle effects on derivative pricing and portfolio optimization ofrandomly varying volatility. The rec...
The Exact Smile of some Local Stochastic Volatility Models
CEV local volatility stochastic volatility implied volatility.
2012/9/14
We introduce a class of local stochastic volatility models.Within our framework, we obtain an expression for both (i) the price of any European option and (ii) the induced implied volatility smile. To...
Pricing joint claims on an asset and its realized variance under stochastic volatility models
Volatility derivatives stochastic volatility models partial differential equations parabolic equations target volatility option.
2012/9/14
In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variation. This allows a pri...
Stochastic Volatility with Heterogeneous Time Scales
Stochastic Volatility Long Memory Generalized Methods of Moments Econo-physics
2012/9/13
Agents' heterogeneity has been recognized as a driver mechanism for the persistence of nancial volatility. We focus on the multiplicity of investment strategies' horizons;we embed this concept in a c...
Approximating stochastic volatility by recombinant trees
American options stochastic volatility Heston model correlated random walk
2012/6/5
A general method to construct recombinant tree approximations for stochastic volatility models is developed and applied to the Heston model for stock price dynamics. In this application, the resulting...
Libor model with expiry-wise stochastic volatility and displacement
displaced Libor models stochastic volatility calibration to capstrike maturity matrix swaption pricing
2012/4/28
We develop a multi-factor stochastic volatility Libor model with displacement, where each individual forward Libor is driven by its own square-root stochastic volatility process. The main advantage of...
Maximum likelihood approach for several stochastic volatility models
Maximum likelihood approach several stochastic volatility models Computational Finance
2012/4/28
Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method...
Arbitrage Opportunities in Misspecified Stochastic volatility Models
stochastic volatility model misspecification volatility arbitrage
2010/10/18
There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise t...
On dependence of the implied volatility on returns for stochastic volatility models
stochastic volatility the Heston model
2010/10/21
We study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model.To be more specific, we consider the conditional expectation of vari...
Asymptotic analysis for stochastic volatility: Edgeworth expansion
Asymptotic analysis stochastic volatility Edgeworth expansion
2010/10/19
The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions. The asymptotic...
Bounds on Stock Price probability distributions in Local-Stochastic Volatility models
Law of the spot price local-stochastic volatility moment explosion
2010/10/20
We show that in a large class of stochastic volatility models with additional skew-functions (local-stochastic volatility models) the tails of the cumulative distribution of the log-returns behave as...
Asymptotic analysis for stochastic volatility: Edgeworth expansion
stochastic volatility Edgeworth expansion European option prices
2010/4/28
The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions. The asymptotic...
Minimizing the Probability of Lifetime Ruin under Stochastic Volatility
Optimal investment minimizing the probability of lifetime ruin
2010/10/19
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility. In the current financial ma...
Extra-Dimensional Approach to Option Pricing and Stochastic Volatility
Extra-Dimensional Option Pricing Stochastic Volatility
2010/10/18
The generalized 5D Black-Scholes differential equation with stochastic volatility is derived. The projections of the stochastic evolutions associated with the random variables from an enlarged space o...
Option pricing in multivariate stochastic volatility models of OU type
multivariate stochastic volatility models Ornstein-Uhlenbeck type processes option pricing
2010/10/18
We present a multivariate stochastic volatility model with leverage, which is flexible enough to recapture the individual dynamics as well as the interdependencies between several assets while still ...