heteroskedasticity (GARCH) and autoregressive stochastic volatility (ARSV) models for volatility forecasting using the S&P 500 Index. In …-step-ahead volatility forecasts. The empirical results show that the ARSV(1) model outperforms the GARCH(1, 1) model in terms of the in … volatility, are not robust for out-of-sample option price predictions. …

for the Heston model, which are based on exact simulation of the underlying volatility process. Both for an Euler- and a …Inspired by the article Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model … Feller index of the volatility process. In our analysis, we also observed the usual trade off between the smoothness …

simulation of the skeleton of such processes and propose a novel procedure when they coincide with compound Poisson processes of … Ornstein-Uhlenbeck type. We illustrate the applicability of the theoretical findings and the simulation algorithms in the …

The paper examines the relative performance of Stochastic Volatility (SV) and Generalised Autoregressive Conditional … Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV … standard volatility models if the simple expedient of using lagged squared demeaned daily returns provides a better RV …

The present study aimed to investigate the presence of asymmetric stochastic volatility and leverage effects within the …. Using the results of the asymmetric stochastic volatility model, we evaluated both the Nasdaq-100 index as a whole and the … volatility persistence, predictability, and correlation levels of individual stocks. This allowed us to evaluate the ability of …

are restricted in order to preserve the drift and the volatility of the project-value process that it modifies. By …

differential equation via a forward-backward neural network, also calibrating the related stochastic volatility model when dealing … with European options. The obtained results exhibit accurate approximations of the implied volatility surface. Specifically …