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Forecasting latent volatility through a Markov chain approximation filter

Lo, Chia Chun; Skindilias, Konstantinos; … - In: Journal of forecasting 35 (2016) 1, pp. 54-69

Persistent link: https://www.econbiz.de/10011417712

Modeling intraday stochastic volatility and conditional duration contemporaneously with regime shifts

Trojan, Sebastian - 2014

Persistent link: https://www.econbiz.de/10010437483

Discrete stochastic autoregressive volatility

Cordis, Adriana S.; Kirby, Chris - In: Journal of banking & finance 43 (2014), pp. 160-178

Persistent link: https://www.econbiz.de/10010410013

Joint tails impact in stochastic volatility portfolio selection models

Bonomelli, Marco; Giacometti, Rosella; Ortobelli Lozza, … - In: Stochastic optimization: theory and applications, (pp. 833-848). 2020

Persistent link: https://www.econbiz.de/10012290845

On ruin probabilities with investments in a risky asset with a regime-switching price

Kabanov, Jurij M.; Pergamenščikov, Sergej M. - In: Finance and stochastics 26 (2022) 4, pp. 877-897

Persistent link: https://www.econbiz.de/10013440255

A probabilistic approach for the valuation of variance swaps under stochastic volatility with jump clustering and regime switching

He, Xin-Jiang; Lin, Sha - In: Financial innovation : FIN 10 (2024), pp. 1-23

The effects of stochastic volatility, jump clustering, and regime switching are considered when pricing variance swaps. This study established a two-stage procedure that simplifies the derivation by first isolating the regime switching from other stochastic sources. Based on this, a novel...

Persistent link: https://www.econbiz.de/10015361659

A Markov chain approximation scheme for option pricing under skew diffusions

Ding, Kailin; Cui, Zhenyu; Wang, Yongjin - In: Quantitative finance 21 (2021) 3, pp. 461-480

Persistent link: https://www.econbiz.de/10012483834

Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models

Asmussen, Søren; Bladt, Mogens - In: Quantitative finance 22 (2022) 4, pp. 675-689

Persistent link: https://www.econbiz.de/10013367850

Option prices and the probability of success of cash mergers

Bester, C. Alan; Martinez, Victor H.; Roşu, Ioanid - In: Journal of financial econometrics 21 (2023) 1, pp. 145-186

Persistent link: https://www.econbiz.de/10013542856

Stochastic volatility estimation using Markov chain simulation

Hautsch, Nikolaus; Ou, Yangguoyi - In: Applied quantitative finance, (pp. 249-274). 2009

Persistent link: https://www.econbiz.de/10003746411