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Conditional density models for asset pricing
Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - 2010
along with the specification of (a) the initial density, and (b) the volatility structure of the density. The volatility …
Persistent link: https://www.econbiz.de/10008797695
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Collateral Smile
Leippold, Markus; Su, Lujing - 2011
prices, which translates into skew and smile patterns for implied volatility curves even under constant volatilities … the market. collateral requirements, funding costs, volatility smile, option pricing …
Persistent link: https://www.econbiz.de/10009375107
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An overreaction implementation of the coherent market hypothesis and option pricing
Schöbel, Rainer (contributor); Veith, Jochen (contributor) - 2006
Inspired by the theory of social imitation (Weidlich 1970) and its adaptation to financial markets by the Coherent Market Hypothesis (Vaga 1990), we present a behavioral model of stock prices that supports the overreaction hypothesis. Using our dynamic stock price model, we develop a two factor...
Persistent link: https://www.econbiz.de/10003636657
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Implied Stochastic Volatility Models
Aït-Sahalia, Yacine - 2019
This paper proposes to build "implied stochastic volatility models" designed to fit option-implied volatility data, and … volatility surface to the specification of the stochastic volatility model. We propose and implement parametric and nonparametric … versions of implied stochastic volatility models …
Persistent link: https://www.econbiz.de/10012901805
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A diffusion approximation for the riskless profit under selling of discrete time call options : non-identically distributed jumps
Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005
Persistent link: https://www.econbiz.de/10002569872
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A diffusion approximation for the riskless profit under selling of discrete time call options : non-identically distributed jumps
Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005
Brownian motion. -- asymptotic uniformity ; local limit theorem ; volatility …
Persistent link: https://www.econbiz.de/10009728974
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A stochastic volatility libor model and its robust calibration
Belomestny, Denis (contributor);  … - 2007
In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility … calibration algorithm is FFT based, so fast and easy to implement. -- Libor modelling ; stochastic volatility ; CIR processes …
Persistent link: https://www.econbiz.de/10003635097
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Implied volatility at expiration
Medvedev, Alexey N. - 2008
under a broad class of stochastic volatility models. Based on this formula, we propose a closed-form approximation of the … implied volatility smile. Numerical examples suggest that our approximation is accurate in the absence of mean-reversion in … stochastic volatility …
Persistent link: https://www.econbiz.de/10003961401
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How do investors' expectations drive asset prices?
Lüders, Erik; Peisl, Bernhard - 2001
stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic volatility. …
Persistent link: https://www.econbiz.de/10013428399
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A simple approach to pricing American options under the Heston stochastic volatility model
Beliaeva, Natalia A.; Nawalkha, Sanjay K. - In: The journal of derivatives : the official publication … 17 (2009/10) 4, pp. 25-43
Persistent link: https://www.econbiz.de/10003985507