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Assessing the performance of symmetric and asymmetric implied volatility functions

Andreou, Panayiotis C.; Charalambous, Chris; … - In: Review of quantitative finance and accounting 42 (2014) 3, pp. 373-397

Persistent link: https://www.econbiz.de/10010391631

Detection of mispricing in the Black-Scholes PDE using the derivative-free nonlinear Kalman Filter

Rigatos, G.; Zervos, N. - In: Computational economics 50 (2017) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10011762181

The Heston stochastic volatility model for single assets and for asset portfolios: parameter estimation and an application to the Italian financial market

Ballestra, Luca Vincenzo; Ferri, Roberto; Pacelli, Graziella - In: The international journal of business and finance … 1 (2007) 2, pp. 11-23

Persistent link: https://www.econbiz.de/10003955535

Realized Laplace transforms for estimation of jump diffusive volatility models

Todorov, Viktor; Tauchen, George Eugene; Grynkiv, Iaryna - In: Journal of econometrics 164 (2011) 2, pp. 367-381

Persistent link: https://www.econbiz.de/10009301899

Realized Laplace Transforms for estimation of jump diffusive volatility models

Todorov, Viktor; Tauchen, George Eugene; Grynkiv, Iaryna - 2010

Persistent link: https://www.econbiz.de/10009560323

The empirical performance of option-based densities of foreign exchange

Craig, Ben R. (contributor); Keller, Joachim G. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002542714

The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...

Persistent link: https://www.econbiz.de/10001656178

The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

Persistent link: https://www.econbiz.de/10001650407

Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models

Todorov, Viktor - 2010

We develop a new efficient and analytically tractable method for estimation of parametric volatility models that is … empirical Laplace transform of the unobservable volatility. The estimation then is done by matching moments of the integrated …-day data into the Realized Laplace Transform of volatility, which is a model-free and jump-robust estimate of daily integrated …

Persistent link: https://www.econbiz.de/10013137409

Estimating Correlated Jumps and Stochastic Volatilities

Witzany, Jiri - 2011

We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC … stock (PX index) returns. Four bivariate models with and without jumps and/or stochastic volatility are compared using the … deviance information criterion (DIC) confirming importance of incorporation of jumps and stochastic volatility into the model …

Persistent link: https://www.econbiz.de/10013121407