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Pricing stock options under stochastic volatility and stochastic interest rates with efficient method of moments estimation
Jiang, George J.; Sluis, Pieter J. van der - 1998
While the stochastic volatility (SV) generalization has been shown to improvethe explanatory power compared to the … then investigate the respectiveeffect of stochastic interest rate, systematic volatility and idiosyncraticvolatility on … thesystematc volatility of the consumption process, our estimation results suggestthat the short-term interest rate fails to be a …
Persistent link: https://www.econbiz.de/10011284060
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Asset pricing in incomplete markets : valuing gas storage capacity
Zhao, Lin; Wijnbergen, Sweder van - 2015
common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than … with the volatility of the spot market. This is an intuitive result because storage capacity can serve as an effective …
Persistent link: https://www.econbiz.de/10011333083
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A comparison of biased simulation schemes for stochastic volatility models
Lord, Roger; Koekkoek, Remmert; Dijk, Dick van - 2008 - This version: February 6, 2008
simulation algorithm exists for this process, at present this is not the case for the Heston stochastic volatility model, where …
Persistent link: https://www.econbiz.de/10011349176
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Optimal Fourier inversion in semi-analytical option pricing
Lord, Roger; Kahl, Christian - 2007 - This version: 10th May 2007
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/10011349177
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Why the rotation count algorithm works
Lord, Roger; Kahl, Christian - 2006 - This version: July 17th, 2006
The characteristic functions of many affine jump-diffusion models, such as Heston’s stochastic volatility model and all …
Persistent link: https://www.econbiz.de/10011349189
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Black scholes for portfolios of options in discrete time : the price is right, the hedge is wrong
Peeters, Bas; Dert, Cees; Lucas, André - 2003
Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black-Scholes-Merton framework large portfolios of options can be hedged without risk in discrete time. The nature of the hedge portfolio in the limit of large portfolio size is substantially different...
Persistent link: https://www.econbiz.de/10011334345
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Black scholes for portfolios of options in discrete time : the price is right, the hedge is wrong
Peeters, Bas; Dert, Cees; Lucas, André - 2003
Persistent link: https://www.econbiz.de/10001884326
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Mixed hitting - time models
Abbring, Jaap H. - 2007
Persistent link: https://www.econbiz.de/10003609106
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Mixed hitting-time models
Abbring, Jaap H. - 2009
We study a mixed hitting-time (MHT) model that specifies durations as the first time a Lévy process - a continuous-time process with stationary and independent increments - crosses a heterogeneous threshold. Such models are of substantial interest because they can be reduced from...
Persistent link: https://www.econbiz.de/10011372965
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Solving penalised American options for jump diffusions using the POST algorithm
Hessing, Jean-Claude; Lange, Rutger-Jan; Ralph, Daniel - 2022
Heston's stochastic volatility model [14], illustrating the breadth of application and numerical reliability of the method. …
Persistent link: https://www.econbiz.de/10012817150