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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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Solving Norm Constrained Portfolio Optimization via Coordinate-Wise Descent Algorithms
Yen, Yu-Min; Yen, Tso-Jung - 2019
A fast method based on coordinate-wise descent algorithms is developed to solve portfolio optimization problems in which asset weights are constrained by Lq norms for 1=q=2. The method is first applied to solve a minimum variance portfolio (mvp) optimization problem in which asset weights are...
Persistent link: https://www.econbiz.de/10014195343
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Assessment of Accuracy of Finite Difference Methods in Evaluation of Options within Heston Model
Cai, Chencheng - 2015
) discovered by Market Memory Trading L.L.C. (“MMT”) for the probability density function of the European style options with … approximate nature of various numerical methods used for evaluation of these options. Our goal is to investigate the accuracy of … options with stochastic volatility. Exact results for option prices for wide ranges of parameters of the underlying return and …
Persistent link: https://www.econbiz.de/10013019454
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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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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
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Complete Analytical Solution of the Heston Model for Option Pricing and Value-at-Risk Problems : 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). • In this paper we report similar unique results for pricing options in the presence of stochastic volatility … (Heston model), enabling complete analytical resolution of all problems associated with options considered within the Heston …
Persistent link: https://www.econbiz.de/10013030477
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The endo-exo problem in high frequency financial price fluctuations and rejecting criticality
Wheatley, Spencer; Wehrli, Alexander; Sornette, Didier - 2018
The endo-exo problem lies at the heart of statistical identi fication in many fields of science, and is often plagued by spurious strong-and-long memory due to improper treatment of trends, shocks and shifts in the data. A class of models that has shown to be useful in discerning exogenous and...
Persistent link: https://www.econbiz.de/10011900335
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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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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