Showing 1 - 10 of 59
This paper studies the probability distribution and option pricing for drawdown in a stochastic volatility environment. Their analytical approximation formulas are derived by the application of a singular perturbation method (Fouque et al. [7]). The mathematical validity of the approximation is...
Persistent link: https://www.econbiz.de/10004995375
This paper proposes a new approach to style analysis by utilizing a general state space model and Monte Carlo filter. In particular,We regard coefficients of style indices as state variables in the state space model and apply Monte Carlo filter as estimation method. Moreover, an empirical...
Persistent link: https://www.econbiz.de/10005187164
This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to volatility risk. In general, under these...
Persistent link: https://www.econbiz.de/10008763307
The Japanese Government reports the annualized estimates of the growth rates of GDP and its main components once in 3 months, and then revises them once in a while. There have been some critical comments on the accuracy of those numbers mainly from economists who want to evaluate the current...
Persistent link: https://www.econbiz.de/10008542240
For estimating the realized volatility and covariance by using high frequency data, we have introduced the Separating Information Maximum Likelihood (SIML) method when there are possibly micro-market noises by Kunitomo and Sato (2008a, 2008b, 2010a, 2010b). The resulting estimator is simple and...
Persistent link: https://www.econbiz.de/10008483845
For the estimation problem of the realized volatility, covariance and hedging coefficient by using high frequency data with possibly micro-market noises, we use the Separating Information Maximum Likelihood (SIML) method, which was recently developed by Kunitomo and Sato (2008). By analyzing the...
Persistent link: https://www.econbiz.de/10005187113
For estimating the realized volatility and covariance by using high frequency data, Kunitomo and Sato (2008a,b) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises. The SIML estimator has reasonable asymptotic properties; it is consistent...
Persistent link: https://www.econbiz.de/10008620607
For estimating the realized volatility and covariance by using high frequency data, we introduce the Separating Information Maximum Likelihood (SIML) method when there are possibly micro-market noises. The resulting estimator is simple and it has the representation as a specific quadratic form...
Persistent link: https://www.econbiz.de/10005465365
The asymmetrical movements between the downward and upward phases of the sample paths of time series have been sometimes observed. By generalizing the SSAR (simultaneous switching autoregressive) models, we introduce a class of nonlinear time series models having the asymmetrical sample paths in...
Persistent link: https://www.econbiz.de/10005467566
Persistent link: https://www.econbiz.de/10008860388