Option pricing with stochastic volatility
Option Pricing with Stochastic Volatility
... in stochastic volatility models by using Ito’s lemma and its applications to boundary Cauchy problem by giving the solution of vanilla option pricing mod- els satisfying the partial ...
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Stochastic Volatility Jump Diffusion Model for Option Pricing
... alternative option pricing model is proposed, in which the asset prices follow the jump-diffusion model with square root stochastic ...The stochastic volatility follows the ...
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Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates
... in pricing options, especially the long-term ITM options which are the most expensive ...historical volatility tends to systematically underprice deep ITM options but overprice deep OTM op- ...the ...
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Executive Stock Option Pricing in China under Stochastic Volatility
... of stochastic volatility (SV) models, we extend the approach of option pricing for executive stock options (ESOs) under FAS ...price volatility, executive shareholding proportion, and ...
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Stochastic volatility: option pricing using a multinomial recombining tree
... the stochastic volatility model and the stochastic volatility particle filter estimation method; to the best of our knowledge, current Wall Street practice uses similar ...for pricing ...
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"Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment"
... and option pricing for draw- down in a stochastic volatility environment by an analytical ...The option for drawdown can be a powerful risk management ...for option ...
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Homotopy analysis method for option pricing under stochastic volatility
... 2. Option pricing In this section, we use the concept homotopy that was first used by Liao [ 5 ] to develop an analytic method for the nonlinear ODE and PDE problems, namely the homotopy analysis ...of ...
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Asymptotic Methods for Stochastic Volatility Option Pricing: An Explanatory Study
... European option pricing, the volatility parameter is assumed to be ...Black-Scholes option prices and op- tion prices observed from the market if options of different strikes and maturities on ...
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Solvable Local and Stochastic Volatility Models : Supersymmetric Methods in Option Pricing
... Henry-Labordere, P. (2007). Solvable Local and Stochastic Volatility Models: Supersymmetric Methods in Option Pricing. Quantitative Finance, 7(5), 525-535. ...
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Option pricing under the double stochastic volatility with double jump model
... power option is more useful than an ordinary option ...power option pricing under the double stochastic volatility with double ...the option pricing via fast ...
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Jumps and stochastic volatility in crude oil prices and advances in average option pricing
... a pricing framework for arithmetic Asian options in the presence of stochastic volatility and price ...for volatility clustering, price discontinuities, exhibits Samuelson’s maturity effect and ...
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Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts
... NYSE index returns over the period of 1968-1991 are used to suggest that pricing index options of up to 90-days maturity would be more accurate when: (1) using ARCH specifications in pla[r] ...
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Vanilla Option Pricing on Stochastic Volatility market models
... allowing volatility to vary ran- domly, for the following reason, a well-known discrepancy between the Black-Scholes predicted European option prices and market-traded options prices, the smile curve, can ...
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Option Pricing under Stochastic Volatility and Trading Volume
... of volatility across strike prices and ...in volatility and the correlation between volatility and asset ...conditional volatility in asset ...the stochastic properties of stock returns ...
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A Stochastic Volatility Model With Realized Measures for Option Pricing
... We present our empirical results on daily log-returns and realized variances for the S&P500 Futures. Our sample spans the period from January 1, 1997 to December 31, 2009. Realized variances are computed from ...
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Vanilla Option Pricing on Stochastic Volatility market models
... allowing volatility to vary ran- domly, for the following reason, a well-known discrepancy between the Black-Scholes predicted European option prices and market-traded options prices, the smile curve, can ...
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European Option Pricing for a Stochastic Volatility Lévy Model with Stochastic Interest Rates
... European option pricing when the underlying asset price dynamics is governed by a linear combination of the time-change Lévy process and a stochastic interest rate which follows the Vasicek proc- ...
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Numerical Solution of Pricing of European Put Option with Stochastic Volatility
... European option pricing with stochastic volatility forecasted by well known GARCH model is discussed in context of Indian financial ...put option increases with maturity time and ...
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Stochastic Volatility and Option Pricing in the Brazilian Stock Market: An Empirical Investigation
... a pricing formula for options on an underlying stock following a geometric brownian ...the volatility of the underlying stock would be constant along the life of the ...that volatility is not ...
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Simple approximations for option pricing under mean reversion and stochastic volatility
... For the application to options on electricity prices, it appeared that stochastic volatil- ity is important. However, it mattered even more for predictions of implied volatilities whether a mean reversion or ...
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