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A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities

Casarin, Roberto; Leisen, Fabrizio; Molina, German; … - 2014

Persistent link: https://www.econbiz.de/10011631789

Valuation of R&D compound option using Markov chain approach

D'Amico, Guglielmo; Villani, Giovanni - In: Annals of finance 17 (2021) 3, pp. 379-404

Persistent link: https://www.econbiz.de/10012622325

A Bayesian analysis of time-varying jump risk in S&P 500 returns and options

Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014466112

Leverage effect on stochastic volatility for option pricing in Hong Kong : a simulation and empirical study

Hong, Hui; Bian, Zhicun; Chen, Naiwei - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-10

Persistent link: https://www.econbiz.de/10012666125

Exact simulation of gamma-driven Ornstein-Uhlenbeck processes with finite and infinite activity jumps

Qu, Yan; Dassios, Angelos; Zhao, Hongbiao - In: Journal of the Operational Research Society 72 (2021) 2, pp. 471-484

Persistent link: https://www.econbiz.de/10012500958

Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method

Elliott, Robert J.; Siu, Tak Kuen - In: The journal of futures markets 43 (2023) 7, pp. 925-950

Persistent link: https://www.econbiz.de/10014293270

Efficient simulation of clustering jumps with CIR intensity

Dassios, Angelos; Zhao, Hongbiao - In: Operations research 65 (2017) 6, pp. 1494-1515

Persistent link: https://www.econbiz.de/10011777769

Option portfolio management in a risk-neutral world

Golembiovsky, Dmitry Jurievich; Abramov, Anatoly Markovich - In: Journal of mathematical finance 8 (2018) 4, pp. 710-733

Persistent link: https://www.econbiz.de/10012016559

A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks

Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - 2022 - This version: December 6, 2022

This paper examines continuous-time models for the S&P 100 index and its constituents. We find that the jump process of the typical stock looks significantly different than that of the index. Most importantly, the average size of a jumps in the returns of the typical stock is positive, while it...

Persistent link: https://www.econbiz.de/10013465942

Parameter estimation of the Heston volatility model with jumps in the asset prices

Gruszka, Jarosław; Szwabiński, Janusz - In: Econometrics : open access journal 11 (2023) 2, pp. 1-26

for several decades. The Heston model, for instance, is based on two coupled SDEs and is often used in financial … estimation procedure of the Heston model without and with jumps in the asset prices is presented. Bayesian regression combined … simulations of the Heston model to investigate the performance of the estimators. In addition, a practical follow-along recipe is …

Persistent link: https://www.econbiz.de/10014362627