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A diffusion approximation for the riskless profit under selling of discrete time call options: Non-identically distributed jumps
Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005
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
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Numerics of implied binomial trees
Härdle, Wolfgang Karl; Myšičková, Alena - 2008
, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility … known as volatility smile. They provide a discrete approximation to the continuous risk neutral process for the underlying … Barle and Cakici (BC). After the formation of IBT we can estimate the implied local volatility and the state price density …
Persistent link: https://www.econbiz.de/10010275907
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A note on Wick products and the fractional Black-Scholes model
Björk, Tomas; Hult, Henrik - 2005
In some recent papers, such as Elliott & van der Hoek, Hu & Öksendal, a fractional Black-Scholes model have been proposed as an improvement of the classical Black-Scholes model. Common to these fractional Black-Scholes models, is that the driving Brownian motion is replaced by a fractional...
Persistent link: https://www.econbiz.de/10010281205
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Spectral estimation of the fractional order of a Lévy process
Belomestny, Denis - 2009
We consider the problem of estimating the fractional order of a Lévy process from low frequency historical and options data. An estimation methodology is developed which allows us to treat both estimation and calibration problems in a unified way. The corresponding procedure consists of two...
Persistent link: https://www.econbiz.de/10010263764
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Modelling cross-dependencies between Spain's regional tourism markets with an extension of the Gaussian process regression model
Claveria, Oscar; Monte, Enric; Torra, Salvador - In: SERIEs - Journal of the Spanish Economic Association 7 (2016) 3, pp. 341-357
This study presents an extension of the Gaussian process regression model for multiple-input multiple-output forecasting. This approach allows modelling the cross-dependencies between a given set of input variables and generating a vectorial prediction. Making use of the existing correlations in...
Persistent link: https://www.econbiz.de/10011650323
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Machine learning for multiple yield curve markets: Fast calibration in the Gaussian affine framework
Gümbel, Sandrine; Schmidt, Thorsten - In: Risks 8 (2020) 2, pp. 1-18
Calibration is a highly challenging task, in particular in multiple yield curve markets. This paper is a first attempt to study the chances and challenges of the application of machine learning techniques for this. We employ Gaussian process regression, a machine learning methodology having many...
Persistent link: https://www.econbiz.de/10013200584
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Estimation of processing time using machine learning and real factory data for optimization of parallel machine scheduling problem
Yamashiro, Hirochika; Nonaka, Hirofumi - In: Operations Research Perspectives 8 (2021), pp. 1-9
Traditionally, mathematical optimization methods have been applied in manufacturing industries where production scheduling is one of the most important problems and is being actively researched. Extant studies assume that processing times are known or follow a simple distribution. However, the...
Persistent link: https://www.econbiz.de/10012662841
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A Data-Reconstructed Fractional Volatility Model
Mendes, Rui Vilela; Oliveira, Maria J. - 2008
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
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The Empirical Performance of Option Based Densities of Foreign Exchange
Keller, Joachim G.; Craig, Ben R. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10010295724
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Pricing of options under different volatility models
Herzberg, Markus; Sibbertsen, Philipp - 2004
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