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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...
Density quantization method in the optimal portfolio choice with partial observation of stochastic volatility
Optimal portfolio partial observation ltering density
2010/10/21
Computational aspects of the optimal consumption and investment with the partially observed stochastic volatility of the asset prices are considered. The new quantization approach to filtering - dens...
American Options Pricing under Stochastic Volatility: Approximation of the Early Exercise Surface and Monte Carlo Simulations
American Options Pricing Stochastic Volatility
2010/10/21
The aim of this study was to develop methods for evaluating the American-style option prices when the volatility of the underlying asset is described by a stochastic process. As part of this problem ...
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...
Analytical and Numerical Approaches to Pricing the Path-Dependent Options with Stochastic Volatility
Analytical Numerical Pricing Path-Dependent Options Stochastic Volatility
2010/10/21
In this paper new analytical and numerical approaches to valuating path-dependent options of European type have been developed. The model of stochastic volatility as a basic model has been chosen. Fo...
Scaling portfolio volatility and calculating risk contributions in the presence of serial cross-correlations
portfolio market risk volatility scaling square-root-of-time rule
2010/10/21
In practice daily volatility of portfolio returns is transformed to longer holding periods by multiplying by the square-root of time which assumes that returns are not serially correlated. Under this ...
Small-time asymptotics for fast mean-reverting stochastic volatility models
Small-time asymptotics fast mean-reverting stochastic volatility models
2010/10/21
In this paper, we study stochastic volatility models in regimes where the maturity is small but large compared to the mean-reversion time of the stochastic volatility factor. The problem falls in the...
A contribution to the systematics of stochastic volatility models
fluctuations econophysics stochastic differential equations
2010/10/21
We compare systematically several classes of stochastic volatility models of stock market fluctuations. We show that the long-time return distribution is either Gaussian or develops a power-law tail,...
We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given...
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...
Valuation equations for stochastic volatility models
Valuation equations stochastic volatility models
2010/10/20
We study the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models. The standard Feynman-Kac theorem cannot be directly applied ...
Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection
Minimum variance portfolio portfolio allocation risk assessment
2010/10/20
Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of selected portfolios among a vast pool of assets, as demonstrated in Fan et al (20...
Asymptotic equivalence in Lee's moment formulas for the implied volatility and Piterbarg's conjecture
Call and put pricing functions Implied volatility Lee’s moment formula
2010/10/21
The asymptotic behavior of the implied volatility associated with a general call pricing function has been extensively studied in the last decade. The main topics discussed in this paper are Lee's mom...
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
Stochastic volatility Heston model fast mean-reversion
2010/10/21
We propose a multi-scale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertubative expansion is...
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
Spectral Decomposition Option Prices Fast Mean-Reverting Stochastic Volatility Models
2010/10/21
Using spectral decomposition techniques and singular perturbation theory, we develop a systematic method to approximate the prices of a variety of options in a fast mean-reverting stochastic volatilit...