We have illustrated how to obtain fast and accurate pricing approximations by expanding the drift and diffusion as a Taylor series and we have compared the second and third

We compare the stochastic volatility Markov-functional model developed in the thesis with one-dimensional (non-stochastic-volatility) swap Markov-functional models in terms of

This paper provides an exact expression for the price-dividend ratio in an endowment asset pricing model with CRRA preferences, Gaussian autoregressive shocks, and stochastic

In this section, we conduct a sensitivity analysis to investigate the impact of the model parameters including correlations and stochastic volatility, on bond prices, credit

Applying supersymmetric transformations on the Natanzon potential (which is the most general potential for which the Schr¨ odinger equation can be reduced to either a hypergeometric

In this book we study option valuation when security prices evolve with stochastic (random) volatility.. Stochastic volatility models lead to generalizations of the B-S option

Someone’s Watching Light When all of the green LEDs on the front of your camera switch from green to white, this means that a user you have given access to has logged in and

Second, in the option pricing stage, with the volatility series reprojected from underlying state variables, the risk premium of stochastic volatility is implied from option

In particular, pricing rules having a unique SDF ( i.e. , perfect markets) with the Log-Normal (Black and Scholes) or heavier tailed (stochastic volatility pricing models)

In this article an analysis of the application of stochastic interest rate models and stochastic volatility models in pricing and hedging interest rate hybrid products will

The study permits to obtain closed form solution for option pricing with stochastic volatility by assuming nor- mal distribution obtained by the properties of the bivariate

2.1 A comparison of fair strike values of actual-return variance swaps obtained from our closed-form solution, the continuous approxi- mation and the Monte Carlo simulations, based

These four option pricing models are estimated: Black’s (1976) model, Bates’ (1991) jump-diffusion model, Heston’s (1993) stochastic volatility (SV) model, and stochastic

Prices for a European and a Bermudan put option (10 exercise dates, expiry T = 1) in the CEV-like model with state-dependent measure for the 2nd-order approximation

We need to better understand why some groups of people are at particular risk of becoming obese, such as women, especially those of lower socioeconomic status, migrants, and

In 2012, Canadian private P&C insurers paid out $14.7 billion in net claims incurred to policyholders for all types of auto insurance coverage: third-party liability,

However, Lévy jumps models with stochastic volatility such as SVJ and EVGSV models outperform other model specifications through the sample periods and minimize in-sample

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