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In this article we define a multi-factor equity-interest rate hybrid model with non-zero correlation between the stock … simulation scheme and investigate hedging in the presence of non-zero correlation between the processes from different asset …
Persistent link: https://www.econbiz.de/10013070982
We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little...
Persistent link: https://www.econbiz.de/10011751173
Derivatives, especially equity and volatility options, contain valuable and oftentimes essential information for … estimating stochastic volatility models. Absent strong assumptions, their typically highly nonlinear pricing dependence on the … state vector prevents or at least severely impedes their inclusion into standard estimation approaches. This paper develops …
Persistent link: https://www.econbiz.de/10013251661
, futures and forwards, option pricing under jumps and stochastic volatility, and the market valuation of corporate securities …
Persistent link: https://www.econbiz.de/10014023860
range of volatility assumptions. It shows that, if the market price of risk is a function only of the short rate and time, a …
Persistent link: https://www.econbiz.de/10011646425
Persistent link: https://www.econbiz.de/10012171645
Chicago Board Options Exchange (CBOE) volatility index (VIX) options. Our methodology is analytically tractable and yet … modeling the stochastic co-volatility factor can significantly improve the in-sample fitting results due to the improved …
Persistent link: https://www.econbiz.de/10012989064
distribution was found. The implied volatility dependencies for the equilibrium conditions and with predicted utility and liquidity …
Persistent link: https://www.econbiz.de/10013225759
We extend and generalize some results on bounding security prices under several stochastic volatility models that …
Persistent link: https://www.econbiz.de/10013135698
stochastically correlated default intensities, or multivariate dynamic portfolio choice with volatility and correlation jumps. We … options. Second, we find that volatility and correlation jumps can imply an economically relevant intertemporal hedging demand … implied volatility skew term structures that are largely unrelated to the level and composition of the spot volatility. This …
Persistent link: https://www.econbiz.de/10013146654