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A bias in the volatility smile
Chance, Don M.; Hanson, Thomas A.; Li, Weiping; … - In: Review of derivatives research 20 (2017) 1, pp. 47-90
Persistent link: https://www.econbiz.de/10011930559
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Regime-switching stochastic volatility model : estimation and calibration to VIX options
Goutte, Stéphane; Ismail, Amine; Pham, Huyên - In: Applied mathematical finance 24 (2017) 1/2, pp. 38-75
Persistent link: https://www.econbiz.de/10011746993
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Information recovery in a dynamic statistical Markov model
Miller, Douglas J.; Judge, George G. - In: Econometrics : open access journal 3 (2015) 2, pp. 187-198
Although economic processes and systems are in general simple in nature, the underlying dynamics are complicated and seldom understood. Recognizing this, in this paper we use a nonstationary-conditional Markov process model of observed aggregate data to learn about and recover causal influence...
Persistent link: https://www.econbiz.de/10011290690
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A Complete Analytical Solution of the Asian Option Pricing within the Heston Model for Stochastic Volatility : A Probability Density Function Approach
Izmailov, Alexander - 2015
Density Functions of Vanilla Options - True Value-at-Risk and Option Based Hedging Strategies” and “Complete Analytical …://ssrn.com/abstract=2546430.The first ever explicit formulation of the concept of the options' probability density functions within the framework … paper we report complete analytical closed-form results for the European style Asian Options considered within the Heston …
Persistent link: https://www.econbiz.de/10013022328
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A Multidimensional Analysis of Wellbeing Using Nonparametric Stochastic Dominance : Evidence from India
Tellez, Juan - 2016
This paper uses an innovative theoretical framework for investigating gender and social differences in wellbeing among Indian households. On the conceptual side, we adopt a multidimensional definition of well-being that includes three key dimensions - wealth, health, education - with an...
Persistent link: https://www.econbiz.de/10012989086
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Generalized fractional processes with long memory and time dependent volatility revisited
Peiris, M. Shelton; Asai, Manabu - In: Econometrics : open access journal 4 (2016) 3, pp. 1-21
In recent years, fractionally-differenced processes have received a great deal of attention due to their flexibility in financial applications with long-memory. This paper revisits the class of generalized fractionally-differenced processes generated by Gegenbauer polynomials and the ARMA...
Persistent link: https://www.econbiz.de/10011568296
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Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - 2020
The statistical estimate of the branching ratio η of the Hawkes model, when fitted to windows of mid-price changes, has been reported to approach criticality (η = 1) as the fitting window becomes large. In this study -- using price changes from the EUR/USD currency pair traded on the...
Persistent link: https://www.econbiz.de/10012219363
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Vital Parameters Calibration by Stochastic Matrix Models : Application a Spiny Dogfish Population (Squalus Acanthias)
Ventura, Lúcia - 2013
In this paper we use structured population models to study the evolution of the abundance of a deep-sea shark stock of the Spiny dog fish species, Squalus acanthias. We only consider the female population divided into three length classes based on the characteristics of the species' development....
Persistent link: https://www.econbiz.de/10014189364
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Complete Analytical Solution of the American Style Option Pricing with Constant and Stochastic Volatilities : A Probability Density Function Approach
Izmailov, Alexander - 2015
Density Functions of Vanilla Options - True Value-at-Risk and Option Based Hedging Strategies”, “Complete Analytical Solution … paper we report unique analytical results for pricing American Style Options in the presence of both constant and stochastic … volatility (Heston model), enabling complete analytical resolution of all problems associated with American Style Options …
Persistent link: https://www.econbiz.de/10013029750