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Heston-Type Stochastic Volatility with a Markov Switching Regime
Elliott, Robert J. - 2016
We construct a Heston-type stochastic volatility model with a Markov switching regime to price a plain-vanilla stock … enough to provide a wide variety of volatility surfaces for the same volatility level but different regimes …
Persistent link: https://www.econbiz.de/10013006139
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Solving incomplete markets models by derivative aggregation
Grasl, Tobias - 2013
Persistent link: https://www.econbiz.de/10009739531
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Growth uncertainty, rational learning, and option prices
Babiak, Mykola; Kozhan, Roman - 2021
Persistent link: https://www.econbiz.de/10012542894
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Minsky, Options and Subprime
Oldani, Chiara - 2010
The Financial Instability Hypothesis-FIH (Minsky, 1977) explains the endogenous creation of the business cycle by considering how the economic units contribute to the capital development, and the debt impact. The FIH is a powerful model to describe how financial markets become unstable, also in...
Persistent link: https://www.econbiz.de/10013140057
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Pricing of Discount Bonds with a Markov Switching Regime
Elliott, Robert J. - 2014
We consider a Markov switching regime and price a discount bond using a CIR-type short rate model. An explicit formula is obtained for the bond price which includes the solution of a matrix ODE. Our model is easy to calculate and captures the effect of regime uncertainty in the price and term...
Persistent link: https://www.econbiz.de/10013066582
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A Macro-Finance Model for Option Prices : A Story of Rare Economic Events
Hasler, Michael - 2020
are followed by economic recoveries, the slope of the implied volatility term structure is positive in good times but … turns negative in bad times. Additionally, implied volatility decreases with moneyness in bad times (volatility skew), while … the dynamics of the implied volatility surface while keeping standard asset pricing moments realistic …
Persistent link: https://www.econbiz.de/10012835346
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Option Valuation with Macro-Finance Variables
Dorion, Christian - 2016
asset and its volatility, the price of an option in the model depends on macroeconomic conditions. Using an index of current … two-component volatility benchmark …
Persistent link: https://www.econbiz.de/10013008886
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Growth Uncertainty, Rational Learning, and Option Prices
Babiak, Mykola; Kozhan, Roman - 2022
We examine implications of introducing parameter uncertainty in endowment and production economies for index option premiums. We estimate two-state models of consumption and productivity growth using post-war U.S. data and allow for rational learning about unknown persistence of economic growth....
Persistent link: https://www.econbiz.de/10014238945
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Option Pricing Under Dividend Barrier Strategies
Jiang, Zhengjun - 2015
This paper investigates risk-neutral price of European option under dividend barrier strategy when cumulative log-return during time interval [0,t] of the underlying stock in the absence of dividends follows a Brownian motion with drift. Such a dividend barrier strategy means that in the...
Persistent link: https://www.econbiz.de/10013028368
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Modeling and valuation of energy structures : analylsis., econometrics, and numerics
Mahoney, Daniel - 2016
Persistent link: https://www.econbiz.de/10011399615