搜索结果: 1-12 共查到“理论经济学 volatility models”相关记录12条 . 查询时间(0.245 秒)
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...
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...
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...
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 ...
We obtain new closed-form pricing formulas for contingent claims when the asset follows a Dupire-type local volatility model. To obtain the formulas we use the Dyson-Taylor commutator method that we h...
Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models
true martingales one-dimensional diffusions separating times financial bubbles
2010/11/1
The stochastic exponential Zt = exp{Mt − M0 − (1/2)hM,Mit} of a continuous local martingale M is itself a continuous local martingale. We give a necessary and sufficient condition for the ...
Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models
Probabilistic representations asset price linear stochastic volatility models
2010/11/2
Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models。
High order discretization schemes for stochastic volatility models
High order discretization schemes stochastic volatility models
2010/11/2
In usual stochastic volatility models, the process driving the volatility of the asset price evolves accord-ing to an autonomous one-dimensional stochastic differential equation. We assume that the co...
Maximum likelihood estimation of stochastic volatility models
Closed-form likelihood expansions Volatility proxies Heston model GARCH model CEV model
2014/3/13
We develop and implement a method for maximum likelihood estimation in closed-form of stochastic volatility models. Using Monte Carlo simulations, we compare a full likelihood procedure,where an optio...