Similar Search Results

Orthogonal polynomial expansions for the valuation of options under the stochastic volatility models with stochastic correlation

Tong, Kevin Z. - In: Journal of management science and engineering 9 (2024) 2, pp. 239-253

This work provides a new method for pricing options under the generalized stochastic volatility models with Jacobi … stochastic correlation. Our method is based on the observation that the generalized models belong to the class of polynomial … and Schöbel-Zhu models with stochastic correlation as two specific examples and are able to derive the analytical formulas …

Persistent link: https://www.econbiz.de/10014632198

Generalized mean-reverting 4/2 Factor Model

Cheng, Yuyang; Escobar, Marcos; Gong, Zhenxian - In: Journal of risk and financial management : JRFM 12 (2019) 4/159, pp. 121

implied volatility surface (up to 100%) and on two risk measures: value at risk and expected shortfall where an increase of up …

Persistent link: https://www.econbiz.de/10012172988

Pricing exchange options under stochastic correlation

Villamor, Enrique; Olivares, Pablo - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10014580764

Optimal Investment with Correlated Stochastic Volatility Factors

Bichuch, Maxim - 2020

The problem of portfolio allocation in the context of stocks evolving in random environments, that is with volatility …

Persistent link: https://www.econbiz.de/10012848021

Deconstructing Correlation : Valuing Basket Options with Asset Smiles and Correlation Smiles

Austing, Peter - 2022

smiles and correlation smiles. At first sight, the task seems formidable. However, by reformulating the problem, we can …

Persistent link: https://www.econbiz.de/10013297391

Exchange options and spread options with stochastically correlated underlyings

Wang, Xingchun - In: Applied economics letters 29 (2022) 12, pp. 1060-1068

Persistent link: https://www.econbiz.de/10013412038

Upside and downside correlated jump risk premia of currency options and expected returns

He, Jie-Cao; Chang, Hsing-Hua; Chen, Ting-Fu; Lin, Shih-kuei - In: Financial innovation : FIN 9 (2023) 1, pp. 1-58

This research explores upside and downside jumps in the dynamic processes of three rates: domestic interest rates, foreign interest rates, and exchange rates. To fill the gap between the asymmetric jump in the currency market and the current models, a correlated asymmetric jump model is proposed...

Persistent link: https://www.econbiz.de/10014289112

Testing for a single-factor stochastic volatility in bivariate series

Chiba, Masaru; Kobayashi, Masahito - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 31-61

single common stochastic volatility factor and noidiosyncratic volatility factor. The test statistic is derived by …

Persistent link: https://www.econbiz.de/10011555751

Estimation and testing in a perturbed multivariate long memory framework

Less, Vivien; Sibbertsen, Philipp - 2022

We propose a semiparametric multivariate estimator and a multivariate score-type testing procedure under a perturbed multivariate fractional process. The estimator is based on the periodogram and uses a local Whittle criterion function which is generalised by an additional constant to capture...

Persistent link: https://www.econbiz.de/10014247836

Partial identification of heteroskedastic structural VARs : theory and Bayesian inference

Lütkepohl, Helmut; Shang, Fei; Uzeda, Luis; Woźniak, … - 2024

We consider structural vector autoregressions identified through stochastic volatility. Our focus is on whether a …

Persistent link: https://www.econbiz.de/10014528602