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Solving asset pricing models with stochastic volatility
De Groot, Oliver - In: Journal of economic dynamics & control 52 (2015), pp. 308-321
Persistent link: https://www.econbiz.de/10011474217
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Pricing Variance Swaps Under Heston Stochastic Volatility Model with Stochastic Interest Rate and Stochastic Dividend Yield
Djiké, Habakuk - 2023
model with stochastic interest rate and stochastic dividend yield. In particular, our modelling framework consists of a … stochastic interest rate driven by Hull-White (HW) or Cox-Ingersoll-Ross (CIR) processes and a stochastic dividend yield, also … driven by HW or CIR processes, which extends the framework of [Ros20] by incorporating the stochastic dividend yield and …
Persistent link: https://www.econbiz.de/10014354552
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Convergence rates of recombining trees for pricing options on stocks under GBM and regime-switching models with known cash dividends
Ma, Jingtang; Fan, Jiacheng - In: The North American journal of economics and finance : a … 37 (2016), pp. 128-147
Persistent link: https://www.econbiz.de/10011672905
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Contingent claims analysis in corporate finance
Crouhy, Michel; Galai, Dan; Wiener, Zvi - In: Options - 45 years since the publication of the …, (pp. 495-520). 2023
Persistent link: https://www.econbiz.de/10014366691
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Pricing foreign currency options with stochastic volatility
Melino, Angelo; Turnbull, Stuart M. - 1988
Persistent link: https://www.econbiz.de/10000772329
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Hedging options in a GARCH environment : testing the term structure of stochastic volatility models
Engle, Robert F.; Rosenberg, Joshua V. - 1994
Persistent link: https://www.econbiz.de/10000904203
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The maximum likelihood estimation of security price volatility : Theory, evidence, and application to option pricing
Ball, Clifford A.; Torous, Walter N. - In: The journal of business : B 57 (1984) 1, pp. 97-112
Persistent link: https://www.econbiz.de/10001863140
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A Dual-Curve Short Rate Model with Multi-Factor Stochastic Volatility : I. Asymptotic Analysis
Lesniewski, Andrew - 2016
We present a stochastic-volatility, short rate term structure model, which extends the classic multi-factor Hull-White model. This model is designed to fit the swaption implied volatility cube and to incorporate the two-curve modeling paradigm. The model exhibits non-Gaussian forward swap rates...
Persistent link: https://www.econbiz.de/10013004161
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A Multifactor Self-Exciting Jump Diffusion Approach for Modelling the Clustering of Jumps in Equity Returns
Hainaut, Donatien - 2017
This paper introduces a new jump diffusion process where the occurrence and the size of past jumps have an impact on both the instantaneous and the long term propensities of observing a jump instantaneously. Here, the intensity of jump arrival is a multifactor self-excited process whereas the...
Persistent link: https://www.econbiz.de/10012969146
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Pricing VIX Options with Multifactor Stochastic Volatility
Caversaccio, Pascal Marco - 2016
By exploiting the flexibility of the Wishart process, we propose an application of this framework to the pricing of Chicago Board Options Exchange (CBOE) volatility index (VIX) options. Our methodology is analytically tractable and yet flexible enough to efficiently price CBOE VIX options. In...
Persistent link: https://www.econbiz.de/10012989064