[PDF] Top 20 Pricing and hedging exotic options in stochastic volatility models
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Pricing and hedging exotic options in stochastic volatility models
... a stochastic volatility context, this necessarily involves higher ...European options in the Heston model in ...i.e. hedging of a time-dependent put option written on the modified price ... See full document
105
A Simple Control Variate Method for Options Pricing with Stochastic Volatility Models
... price options under stochastic volatility ...constant volatility model, like Hull and White(1987)[8], John and Shanno(1987)[9], (b) the martingale control variate method proposed by Fouque and ... See full document
7
Accelerating Monte Carlo Method for Pricing Multi-asset Options under Stochastic Volatility Models
... multi-asset options with stochastic volatility models? Since there is no closed formula for options value, we mainly focus on the control variate Monte Carlo method for multi-asset ... See full document
9
A Class of Control Variates for Pricing Asian Options under Stochastic Volatility Models
... Asian options can be used to reduce the risk caused by unusual behaviors of the underlying asset price before expiry, and they are quite popular in risk ...Asian options (in this paper, we do not ... See full document
9
Embedding Stochastic Correlation into the Pricing of FX Quanto Options under Stochastic Volatility Models
... the stochastic processes (namely the initial value and the long term mean level) because of the conditions implied by the Cho- lesky decomposition, see Equation ... See full document
39
Essays on Fine Structure of Asset Returns, Jumps, and Stochastic Volatility
... of pricing errors consistently substantiate superiority of JD and VG models over BS model as ...EVGSV models confirm that these differences are statistically insignificant, implying that these two ... See full document
133
Realizing smiles: Options pricing with realized volatility
... ATM options) implied by the CGARCH, GARCH, HARGL, and ...using stochastic volatility models based on ...of models to adapt more rapidly to changes in market ...accurate ... See full document
50
LaGrange multiplier approach with optimized finite difference stencils for pricing American options under stochastic volatility
... of pricing financial op- ...for pricing options. Particularly American options are challenging to evalu- ate due to their early exercise possibility and various approaches to approximate their ... See full document
19
Vulnerable options pricing under uncertain volatility model
... the models assume that the volatility of underlying assets is constant, but it is not constant in the real ...continued volatility does not explain the observed market price of an ...the ... See full document
16
Efficient Pricing of European Style Options under Heston’s Stochastic Volatility Model
... Stochastic volatility models such as the model of Heston (1993) [1] are a frequent choice among finance research- ers and practitioners to approximate stock price ...the volatility of a stock ... See full document
5
Affine Diffusion Modeling of Commodity Futures Price Term Structure
... diffusion models have been widely applied in stock, interest rate, currency, and commodity ...are stochastic volatility ...diffusion models are addressed by a number of recent ...bond ... See full document
204
Pricing and Hedging in Stochastic Volatility Regime Switching Models
... switching stochastic volatility models where both the asset and the volatility dynamics de- pend on the values of a Markov jump ...the stochastic volatility and the Markov regime ... See full document
11
PRICING EXOTIC OPTION UNDER STOCHASTIC VOLATILITY MODEL
... option pricing method has been applied to the research of turbo warrants pricing by Wong et ...semi-analytic pricing method for lookback options in a general stochastic ... See full document
11
Options Pricing and Hedging in a Regime-Switching Volatility Model
... on pricing and hedging options written on stocks fol- lowing di ff usion processes with random volatility coe ffi ...modelling volatility uncertainty, pricing a European option ... See full document
176
A BNS-Type Stochastic Volatility Model With Two-Sided Jumps With Applications to FX Options Pricing
... As we have seen, the BNS model can be a sensible choice for modeling stock price dynamics. However, it may not be appropriate to model, e.g., the dynamics of FX rates with a BNS model, since in the FX world, there is no ... See full document
12
Pricing of Volatility Derivatives using 3/2- Stochastic Models
... Hence, Models 7 and 8 are the only models from the models tested that are found to be acceptable models for describing the behaviour of the VIX, and of these, Model 7 performed the ...VIX ... See full document
6
Importance sampling for multimodal functions and application to pricing exotic options
... is pricing high-dimensional exotic options with option- pricing models where the stochastic factors are multivariate ...In exotic option pricing, when cast as an ... See full document
9
Stochastic models of exchange rate dynamics and their implications for the pricing of foreign currency options
... option-pricing models has also been realized in the stochastic-volatility literature (see Wiggins ...that volatility is uncorrelated with aggregate consumption, ...that ... See full document
224
Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market
... the stochastic integral is with respect to the underlying process only, is a property which is only possessed by a few martingales, including Brownian motion, the compensated Poisson process, and the Az´ema ... See full document
33
The stochastic volatility Markov functional model
... non-stochastic volatility model the volatility of the underlying asset, ...the volatility function of the Black-Scholes [8] model is a ...a stochastic volatility model, the ... See full document
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