Showing 1 - 10 of 3,427
Persistent link: https://www.econbiz.de/10010426624
Persistent link: https://www.econbiz.de/10009273909
this markets. Numerical evaluations of varinace, volatility, covarinace and correlations swaps with semi-Markov volatility … are presented as well. The novelty of the paper lies in pricing of volatility swaps in closed form, and pricing of …
Persistent link: https://www.econbiz.de/10013106136
Persistent link: https://www.econbiz.de/10012807616
Persistent link: https://www.econbiz.de/10009779314
Persistent link: https://www.econbiz.de/10012592490
Persistent link: https://www.econbiz.de/10010336666
Persistent link: https://www.econbiz.de/10001534304
Persistent link: https://www.econbiz.de/10001491270
We study the intra-horizon value at risk (iVaR) in a general jump diffusion setup and propose a new model of asset returns called displaced mixed-exponential model, which can arbitrarily closely approximate finite-activity jump-diffusions and completely monotone Levy processes. We derive...
Persistent link: https://www.econbiz.de/10012935916