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1
Modeling tail dependence using stochastic volatility model
Kim, See-Woo
;
Ma, Yong-Ki
;
Necula, Ciprian
- In:
Computational economics
62
(
2023
)
1
,
pp. 129-147
Persistent link: https://www.econbiz.de/10014327243
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2
Implied Filtering Densities on Volatility's Hidden State
Fuertes, Carlos
-
2014
We formulate and analyze an inverse problem using derivatives prices to obtain an implied filtering density on volatility's hidden state. Stochastic volatility is the unobserved state in a hidden Markov model (HMM), and can be tracked using Bayesian filtering. However, derivative data can be...
Persistent link: https://www.econbiz.de/10013064850
Saved in:
3
The Evaluation of Derivatives of Double Barrier Options of the Bessel Processes by Methods of Spectral Analysis
Burtnyak, Ivan
-
2017
The paper deals with the spectral methods to calculate the value of the double barrier option generated by the Bessel diffusion process. This technique enables us to calculate the option price in the form of a Fourier-Bessel series with the corresponding ratio. The authors propose a simple...
Persistent link: https://www.econbiz.de/10012941438
Saved in:
4
Local Times of Fractional Brownian Sheets
Xiao, Yimin
-
2018
Let be a real-valued fractional Brownian sheet. Consider the (, ) Gaussian random field defined by , where are independent copies of . In this paper, the existence and joint continuity of the local times of are established
Persistent link: https://www.econbiz.de/10012925377
Saved in:
5
Asymptotic Behaviour of Randomised Fractional Volatility Models
Horvath, Blanka
-
2018
We study the asymptotic behaviour of a class of small-noise diffusions driven by fractional Brownian motion, with random starting points. Different scalings allow for different asymptotic properties of the process (small-time and tail behaviours in particular). In order to do so, we extend some...
Persistent link: https://www.econbiz.de/10012933302
Saved in:
6
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
Saved in:
7
Asymptotics for volatility derivatives in multi-factor rough volatility models
Lacombe, Chloe
;
Muguruza, Aitor
;
Stone, Henry
- In:
Mathematics and financial economics
15
(
2021
)
3
,
pp. 545-577
Persistent link: https://www.econbiz.de/10012586188
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8
European Option Pricing Under Fractional Brownian Motion with an Application to Realized Volatility
Morimoto, Takayuki
-
2016
This study investigates European option pricing under fractional Brownian motion (fBm) and applies it to realized volatility (RV). The RV measure is selected because it uniquely exhibits simultaneous stationarity and long-range dependency properties in financial time series, as shown in our...
Persistent link: https://www.econbiz.de/10013005273
Saved in:
9
On the Application of Spectral Filters in a Fourier Option Pricing Technique
Ruijter, Marjon
-
2016
When Fourier techniques are employed to specific option pricing cases from computational finance with non-smooth functions, the so-called Gibbs phenomenon may become apparent. This seriously impacts the efficiency and accuracy of the pricing. For example, the Variance Gamma asset price process...
Persistent link: https://www.econbiz.de/10013007505
Saved in:
10
Singular Fourier-Padé Series Expansion of European Option Prices
Chan, Ron
-
2017
We apply a new numerical method, the singular Fourier-Pade (SFP) method invented by Driscoll and Fornberg (2001, 2011), to price European-type options in Levy and affine processes. The motivation behind this application is to reduce the ineffciency of current Fourier techniques when they are...
Persistent link: https://www.econbiz.de/10012967045
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