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A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
Lord, Roger; Koekkoek, Remmert; Dijk, Dick van - Tinbergen Instituut - 2006
introduce the new full truncation scheme, tailored to minimise the upward bias found when pricing European options. Thirdly and …
Persistent link: https://www.econbiz.de/10011255776
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Valuing options in Heston's stochastic volatility model: Another analytical approach
Frontczak, Robert - Wirtschaftswissenschaftlichen Fakultät, … - 2009
We are concerned with the valuation of European options in Heston's stochastic volatility model with correlation. Based … on Mellin transforms we present new closed-form solutions for the price of European options and hedging parameters. In …
Persistent link: https://www.econbiz.de/10009149229
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Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility
Hol, Eugenie; Koopman, Siem Jan - Tinbergen Instituut - 2000
In this paper we compare the predictive abilility of Stochastic Volatility (SV)models to that of volatility forecasts implied by option prices. We develop anSV model with implied volatility as an exogeneous var able in the varianceequation which facilitates the use of statistical tests for...
Persistent link: https://www.econbiz.de/10011255461