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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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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
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On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility Model
Griebsch, Susanne; Wystup, Uwe - 2008
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
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Forward-start options in the Barndorff-Nielsen-Shephard Model
Keller-Ressel, Martin; Kilin, Fiodar - 2008
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
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FX volatility smile construction
Reiswich, Dimitri; Wystup, Uwe - 2009
: The implied volatility smile. The smile construction procedure and the volatility quoting mechanisms are FX specific and …
Persistent link: https://www.econbiz.de/10010301714
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Accelerating the calibration of stochastic volatility models
Kilin, Fiodar - 2007
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
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Valuing options in Heston's stochastic volatility model: Another analytical approach
Frontczak, Robert - 2009
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
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Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?
Branger, Nicole; Schlag, Christian - 2004
Tests for the existence and the sign of the volatility risk premium are often based on expected option hedging errors … the premium is the same as the sign of the mean hedging error for a large class of stochastic volatility option pricing …
Persistent link: https://www.econbiz.de/10010263305