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A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities
Casarin, Roberto - 2015
We build on Fackler and King (1990) and propose a general calibration model for implied risk neutral densities. Our model allows for the joint calibration of a set of densities at different maturities and dates. The model is a Bayesian dynamic beta Markov random field which allows for possible...
Persistent link: https://www.econbiz.de/10013031557
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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
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Pricing risky debts under a Markov-modudated Merton model with completely random measures
Lau, John W.; Siu, Tak Kuen - In: Computational economics 31 (2008) 3, pp. 255-288
Persistent link: https://www.econbiz.de/10003691910
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Are regime-shift sources of risk priced in the market?
Chourdakis, Kyriakos; Dendramis, Yiannis; Tzavalis, Elias - In: Journal of empirical finance 28 (2014), pp. 151-170
Persistent link: https://www.econbiz.de/10011285074
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Real options with priced regime-switching risk
Driffill, John; Kenç, Turalay; Sola, Martin - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-30
Persistent link: https://www.econbiz.de/10009784006
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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
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Technical uncertainty in real options with learning
Jaimungal, Sebastian - In: The journal of energy markets 11 (2018) 4, pp. 51-73
Persistent link: https://www.econbiz.de/10012001975
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On the modelling of nested risk-neutral stochastic processes with applications in insurance
Singor, S. N.; Boer, A.; Alberts, J. S. C.; Oosterlee, … - In: Applied mathematical finance 24 (2017) 3/4, pp. 302-336
Persistent link: https://www.econbiz.de/10011815235
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Option pricing under stock market cycles with jump risks : evidence from the S&P 500 index
Wang, Shin-yun; Chuang, Ming-Che; Lin, Shih-kuei; Shyu, … - In: Review of quantitative finance and accounting 56 (2021) 1, pp. 25-51
Persistent link: https://www.econbiz.de/10012432624
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A discrete-time approach to evaluate path-dependent derivatives in a regime-switching risk model
Russo, Emilio - In: Risks : open access journal 8 (2020) 1/9, pp. 1-22
This paper provides a discrete-time approach for evaluating financial and actuarial products characterized by path-dependent features in a regime-switching risk model. In each regime, a binomial discretization of the asset value is obtained by modifying the parameters used to generate the...
Persistent link: https://www.econbiz.de/10012204035