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Multi-Asset Option Pricing Using Normal Tempered Stable Processes with Stochastic Correlation

Kim, Young Shin; Kim, Hyangju; Choi, Jaehyung; Fabozzi, … - 2021

We present a new model of normal tempered stable (NTS) processes with stochastic correlation for multi-asset option … pricing. The model is constructed by extending the constant correlation term in the NTS model to the stochastic correlation …, kurtosis, skewness, and stochastic correlation, multi-asset option pricing is one of the various applications. In particular …

Persistent link: https://www.econbiz.de/10013211835

A term-structure model for dividends and interest rates

Filipović, Damir; Willems, Sander - 2017

Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and...

Persistent link: https://www.econbiz.de/10011874740

Geometric step options with jumps : parity relations, PIDEs, and semi-analytical pricing

Farkas, Walter; Mathys, Ludovic - 2020

The present article studies geometric step options in exponential Lévy markets. Our contribution is manifold and extends several aspects of the geometric step option pricing literature. First, we provide symmetry and parity relations and derive various characterizations for both European-type...

Persistent link: https://www.econbiz.de/10012181323

Valuing Tradeability in Exponential Lévy Models

Mathys, Ludovic - 2020

The present article provides a novel theoretical way to evaluate tradeability in markets of ordinary exponential Lévy type. We consider non-tradeability as a particular type of market illiquidity and investigate its impact on the price of the assets. Starting from an adaption of the...

Persistent link: https://www.econbiz.de/10012846921

Hermite Expansion of Transition Densities and European Option Prices for Multivariate Diffusions with Jumps

Wan, Xiangwei - 2020

This paper shows that a small-time Hermite expansion is feasible for multivariate diffusions. By introducing an innovative quasi-Lamperti transform, which unitizes the diffusion matrix at the initial time, we derive explicit recursive formulas for the expansion coefficients of transition...

Persistent link: https://www.econbiz.de/10012848735

Modeling volatility spillovers between the variabilities of US inflation and output : the UECCC GARCH model

Conrad, Christian; Karanasos, Menelaos - 2008

This paper employs the unrestricted extended constant conditional correlation GARCH specification proposed in Conrad …

Persistent link: https://www.econbiz.de/10003770689

The factor-spline-GARCH model for high and low frequency correlations

Rangel, Jose Gonzalo; Engle, Robert F. - 2009

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long … that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables … improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. -- Factor models ; Low …

Persistent link: https://www.econbiz.de/10003821063

Volatility spillovers, asymmetry and extreme events in securitized real estate returns

Hoesli, Martin; Reka, Kustrim - 2010

securitized real estate and common stock markets. First, the volatility transmissions across markets are examined using an …

Persistent link: https://www.econbiz.de/10008797759

A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010

We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...

Persistent link: https://www.econbiz.de/10011380135

The euro introduction and non-euro currencies

Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2006

the framework of dynamic conditional correlation (DCC) models, we find that such breaks occurred both at the time the …

Persistent link: https://www.econbiz.de/10011343243