Simple Stochastic Volatility Model
A simple estimation method and finite-sample inference for a stochastic volatility model
... to Stochastic Volatility models (SV) for which it is impossible to get an explicit closed- form expression for the likelihood function [see Shephard (1996), Mahieu and Schot- man ...the stochastic ...
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Heston stochastic volatility model
... for simple schemes is tested with parameters obtained from the mar- ket and it appears not to be useful for pricing options using Monte Carlo ...other simple schemes when using the Monte Carlo simulations ...
106
A Market Model for Stochastic Implied Volatility
... Another interesting extension of the paper would be the incorporation of independent dynamics for options of the same maturities but different strike prices. The problem here is that the no-bubbles restrictions still ...
23
An optimal portfolio model with stochastic volatility and stochastic interest rate
... a simple explicit solution. See Fleming and Soner [4]. In the Merton model, both the interest rate of the risk free asset and the volatility of the risky asset are constants and the risky asset price ...
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A simple model for now-casting volatility series
... Nowcasting volatility of financial time series appears difficult with classical volatility ...a simple model, based on an ARMA representation of the log-transformed squared returns, that ...
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A Simple Control Variate Method for Options Pricing with Stochastic Volatility Models
... 1 1.3263 1.3175 0.0072 1.2756 0.0001 5846.07 The results in Table II-IV show that our new control variate method has good variance reduction efficiency for European options pricing under the Hull-White model. The ...
7
Simple approximations for option pricing under mean reversion and stochastic volatility
... that stochastic volatil- ity is ...walk model was specified, although the estimated AR(1) parameter was close to ...walk model when there is some evidence of mean ...
16
LIBOR market model with SABR style stochastic volatility
... a simple analytic form, and is very easy to efficiently implement in computer ...SABR model lends itself well to valuation and risk management of large portfolios of options in real ...
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PRICING EXOTIC OPTION UNDER STOCHASTIC VOLATILITY MODEL
... Exotic options are called “customer tailored options” or “special purpose option” because they are fl exible to be tailored to the specifi c needs of investors. Strategies based on exotic options are often employed to ...
11
Model Selection and Testing of Conditional and Stochastic Volatility Models
... some simple examples, the GJR(1,1) model nests the simple GARCH(1,1) model under a zero restriction on the parameter driving the asymmetry; APARCH nests GARCH which is obtained fixing the ...
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A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics
... of model based implied volatilities, and generally outperforms Asymptotics ...the stochastic volatility and jumps induce very different shapes of implied ...that model parameters can be ...
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A Threshold Stochastic Volatility Model with Realized Volatility
... realized volatility, as a proxy for the ”true” volatility, can be constructed using the high frequency ...threshold stochastic volatility specification pro- posed in So, Li and Lam (2002) by ...
29
On Leverage in a Stochastic Volatility Model
... encompassed model, including the posterior means, 95% Bayes confidence intervals for all the parameters, and the log marginal likelihood ...encompassed model the posterior mean of ρ 2 is much smaller than ...
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The Jacobi Stochastic Volatility Model
... Density series expansion approaches to option pricing were pioneered by Jarrow and Rudd [ 38 ]. They propose expansions of option prices that can be interpreted as corrections to the pricing biases of the Black–Scholes ...
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A semiparametric stochastic volatility model
... Our model extends the specification studied in Harvey and Shephard ( 1996 ), Yu ( 2005 ) and Omori et ...Our model is closely related to the model of Wu and Xiao ( 2002 ) where a flexible ...
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A semiparametric stochastic volatility model
... Our model extends the model studied in Harvey and Shephard (1996), Yu (2005), Omori et al ...Our model is closely related to the model of Wu and Xiao (2002) where a nonparametric model ...
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Nonparametric estimation for a stochastic volatility model.
... The paper is organized as follows. Section 2 describes the assumptions on the model and the collection of estimation spaces. In Section 3, the estimators are defined and their risks are studied. Section 4 ...
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The stochastic volatility Markov functional model
... implied volatility has no effect on the auto-correlations of the driver and therefore the swap rates at their setting dates, which is inconsistent with what we observed in the ...non-stochastic ...
170
A Stochastic Volatility Model with Conditional Skewness
... affine model with stochastic volatility and conditional ...time-series volatility models is motivated by their tractability in empirical ...SV model delivering a closed-form option ...
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A dynamic leverage stochastic volatility model
... leverage stochastic volatility (DLSV) model where the correlation structure between the return innovation and the volatility innovation is assumed to follow a generalized autoregressive score ...
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