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A discrete time model of financial markets is considered. It is assumed that the relative jumps of the risky security price are independent non-identically distributed random variables. In the focus of attention is the expected non-risky profit of the investor that arises when the jumps of the...
Persistent link: https://www.econbiz.de/10010293743
When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …
Persistent link: https://www.econbiz.de/10010326060
Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model … is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior …
Persistent link: https://www.econbiz.de/10010295279
vorherzusagen, oder aber nur um den Wert anderer Derivative, die sich auf den gleichen Basiswert beziehen, zu berechnen. Die in …
Persistent link: https://www.econbiz.de/10010295724
volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as … the Black-Scholes and Hull-White formulas which includes stochastic volatility. We find that long memory as well as …
Persistent link: https://www.econbiz.de/10010296646
We focus on closed-form option pricing in Heston's stochastic volatility model, in which closed-form formulas exist …
Persistent link: https://www.econbiz.de/10010301701
We derive a semi-analytical formula for pricing forward-start options in the Barndorff-Nielsen- Shephard model. In terms of computational time, this formula is equivalent to one-dimensional integration.
Persistent link: https://www.econbiz.de/10010301709
The foreign exchange options market is one of the largest and most liquid OTC derivative markets in the world …: The implied volatility smile. The smile construction procedure and the volatility quoting mechanisms are FX specific and …
Persistent link: https://www.econbiz.de/10010301714
comparison is the choice of the fastest method for the calibration of stochastic volatility models, e.g. Heston, Bates, Barndorff …
Persistent link: https://www.econbiz.de/10010301715
We are concerned with the valuation of European options in Heston's stochastic volatility model with correlation. Based …
Persistent link: https://www.econbiz.de/10010301794