Showing 1 - 10 of 98
A characteristic function-based method is proposed to estimate the time-changed Lévy models, which take into account both stochastic volatility and infinite-activity jumps. The method facilitates computation and overcomes problems related to the discretization error and to the non-tractable...
Persistent link: https://www.econbiz.de/10010617665
Persistent link: https://www.econbiz.de/10011587034
Persistent link: https://www.econbiz.de/10012262492
This paper shows how to decompose weakly stationary time series into the sum, across time scales, of uncorrelated components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based on an isometric scaling operator...
Persistent link: https://www.econbiz.de/10012637320
The paper tackles the problem of pricing, under interest-rate risk, a default-free sinking-fund bond which allows its issuer to recurrently retire part of the issue by (a) a lottery call at par, or (b) an open market repurchase. By directly modelling zero-coupon bonds as diffusions driven by a...
Persistent link: https://www.econbiz.de/10005495412
Persistent link: https://www.econbiz.de/10005374127
Persistent link: https://www.econbiz.de/10005374704
Persistent link: https://www.econbiz.de/10005375035
In a general, finite-dimensional securities market model with bid-ask spreads, we characterize absence of arbitrage opportunities both by linear programming and in terms of martingales. We first show that absence of arbitrage is equivalent to the existence of solutions to the linear programming...
Persistent link: https://www.econbiz.de/10010993482
Persistent link: https://www.econbiz.de/10005753318