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Optimal Fourier Inversion in Semi-analytical Option Pricing

Lord, Roger; Kahl, Christian - Tinbergen Instituut - 2006

At the time of writing this article, Fourier inversion is the computational method of choice for a fast and accurate calculation of plain vanilla option prices in models with an analytically available characteristic function. Shifting the contour of integration along the complex plane allows for...

Persistent link: https://www.econbiz.de/10011256210

Why the Rotation Count Algorithm works

Lord, Roger; Kahl, Christian - Tinbergen Instituut - 2006

The characteristic functions of many affine jump-diffusion models, such as Heston’s stochastic volatility model and all of its extensions, involve multivalued functions such as the complex logarithm. If we restrict the logarithm to its principal branch, as is done in most software packages,...

Persistent link: https://www.econbiz.de/10011257149

Relating Stochastic Volatility Estimation Methods

Bos, Charles S. - Tinbergen Instituut - 2011

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …

Persistent link: https://www.econbiz.de/10011257075

A Bayesian Analysis of Unobserved Component Models using Ox

Bos, Charles S. - Tinbergen Instituut - 2011

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …

Persistent link: https://www.econbiz.de/10011257295

Pricing Double Barrier Options: An Analytical Approach

Pelsser, Antoon - Tinbergen Instituut - 1997

Double barrier options have become popular instruments in derivative markets. Several papers_new have already analyseddouble knock-out call and put options using different methods. In a recent paper, Geman and Yor (1996) deriveexpressions for the Laplace transform of the double barrrier option...

Persistent link: https://www.econbiz.de/10011255832

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing

Asai, Manabu; McAleer, Michael - Tinbergen Instituut - 2013

The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which accommodates leverage, feedback effects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform...

Persistent link: https://www.econbiz.de/10011256372

Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance

Asai, Manabu; McAleer, Michael - Tinbergen Instituut - 2014

Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures that accommodates asymmetry and long memory....

Persistent link: https://www.econbiz.de/10011272593

Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity

Martens, Martin; Dijk, Dick van; Pooter, Michiel de - Tinbergen Instituut - 2004

This discussion paper resulted in a publication in the 'International Journal of Forecasting', 2009, 27, 282-303.<P> The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally...</p>

Persistent link: https://www.econbiz.de/10011257135

Long Memory and Level Shifts: Re-Analyzing Inflation Rates

Bos, Charles S.; Franses, Philip Hans; Ooms, Marius - Tinbergen Instituut - 1998

A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long-lasting effect. It may however be that empirical evidence for long memory is caused by neglecting one or more level shifts. Since such level shifts are not unlikely for inflation,...

Persistent link: https://www.econbiz.de/10011257369

A Fractionally Integrated Wishart Stochastic Volatility Model

Asai, Manabu; McAleer, Michael - Tinbergen Instituut - 2013

There has recently been growing interest in modeling and estimating alternative continuous time multivariate stochastic volatility models. We propose a continuous timefractionally integrated Wishart stochastic volatility (FIWSV) process. We derive the conditional Laplace transform of the FIWSV...

Persistent link: https://www.econbiz.de/10011257492