[PDF] Top 20 Options Pricing and Hedging in a Regime-Switching Volatility Model
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Options Pricing and Hedging in a Regime-Switching Volatility Model
... basic hedging and arbitrage arguments introduced under the assumption of constant volatility, we set up portfolios that were mathematically designed to hedge against both the risk of movement in the ... See full document
176
Vulnerable options pricing under uncertain volatility model
... pean options, American options, and European vulnerable options by numerical meth- ...the pricing and hedging of derivatives with credit risk using no-arbitrage pricing ...the ... See full document
16
The viscosity solutions approach to swing options pricing under a regime switching mean reverting model
... swing options provide the holder with rights to exercise repeat- edly under certain constraints, such as limits on the local volume, the global volume, and refraction time ...the regime-switching ... See full document
23
The stochastic volatility Markov functional model
... valuation model, the evolution of the underlying asset prices is described via a diffusion ...non-stochastic volatility model the volatility of the underlying asset, ...the volatility ... See full document
170
Valuation of European Call Options Using Wavelet-Based Pricing Model and Black-Scholes Pricing Model
... Scholes model is a well-known model for hedging and pricing derivative ...non-parametric model and a parametric ...the model in this study is the Wavelet-based pricing ... See full document
7
Pricing and Hedging Index Options with a Dominant Constituent Stock
... to model based on historical volatilities and correlations, which are not necessarily the same parameters that the stocks will follow for the life of the option, as regimes change over ...other options ... See full document
165
Option Pricing and Hedging for Discrete Time Regime Switching Models
... for pricing and hedging derivative securities, typically vanilla calls and ...Scholes model has highlighted its many ...Time-varying volatility, the presence How to cite this paper: Rémillard, ... See full document
28
Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market
... implied volatility is 14.65%. We fit these data using the VG model and obtain the parameter values: θ = ...The pricing error due to calibration and simulation is then ...The hedging ... See full document
33
On the regularity of American options with regime switching uncertainty
... of regime-switching diffusions, an early explicit example is Di Masi, Kabanov and Runggaldier [10], where they consider option pricing in an incomplete mar- ket with regime ...our model ... See full document
23
Pricing and hedging exotic options in stochastic volatility models
... Regarding pricing exotic options in stochastic volatility models, Lipton (2001) [26] derives a (semi-)analytical solutions for double barrier options in a reduced Heston framework (with zero ... See full document
105
Pricing and Hedging in Stochastic Volatility Regime Switching Models
... of regime switching models driven by a Markov process to various financial ...Markov switching in diffusions allows us to have different levels of drift or volatility during ...these ... See full document
11
Analysis of Volatility in Gold Prices with the Markov Regime-Switching Models
... Öz: Bu çalışmanın amacı altın piyasasının kazandıran ve kaybettiren dönemlerinin Markov rejim değişim modelleri ile belirlenmesidir. Bu bağlamda, çalışmada Temmuz 1995-Temmuz 2015 dönemlerine ait BİST ve Londra altın ... See full document
12
A BNS-Type Stochastic Volatility Model With Two-Sided Jumps With Applications to FX Options Pricing
... Barndorff-Nielsen–Shephard model class incorporating bidirectional jumps in the asset price process by introducing a second Lévy ...-OU-BNS model to a two-sided Γ -OU-BNS ...BNS model in a ... See full document
12
Bond options and swaptions pricing: a computational investigation of volatility inference
... This work tests an approach suggesting to use the information about swap rate implied volatility smile to assess the bond price implied volatility smile. As the first step simulations have been used to test ... See full document
25
Real effects of inflation uncertainty in the US
... high volatility persis- tence may be due to the regime shifts in the conditional ...single regime model where there are regime shifts in the data is likely to yield parameters that show ... See full document
37
Sentiment-Augmented Asset Pricing in Bursa Malaysia: A Time-Varying Markov Regime-Switching Model
... asset pricing in Bursa Malaysia. The Fama and French three-factor model is re-augmented within a time-varying Markov regime-switching framework to investigate the three risk premiums, ... See full document
16
Forecasting Volatility of Gold Price Using Markov Regime Switching and Trading Strategy
... Descriptive statistics of return series are represented by returns with fatter tails. The Augmented Dickey- Fuller test indicates gold price log returns are stationary. Serial correlation in the gold price confirms it is ... See full document
11
A Model for Pricing Insurance Using Options
... for volatility. It is also worth mentioning that the historical volatility estimation requires a good amount of data to make statistical sense of the ... See full document
18
MANA GING THE VOLA TILITY RISK OF POR TF OLIOS OF DERIV ATIVE SECURITIES� THE LA GRANGIAN UNCER TAINV OLA TILITY MODEL
... for hedging option portfolios and custom-tailored derivative securities which uses options to manage volatility ...a volatility band to model heteroskedasticity and a non-linear partial ... See full document
38
A Study of Volatility Risk
... idiosyncratic volatility. High-idiosyncratic volatility portfolios should essentially consist of growth-oriented stocks with the highest ...idiosyncratic volatility nor on their mean ... See full document
10
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