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A fractionally integrated wishart stochastic volatility model

Asai, Manabu; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009724817

A diffusion approximation for the riskless profit under selling of discrete time call options

Nagaev, Sergei A. - 2003

A discrete time model of a financial market is considered. We focus on the study of a guaranteed profit of an investor which arises when the stock price jumps are bounded. The limit distribution of the profit as the model becomes closer to the classical model of the geometric Brownian motion is...

Persistent link: https://www.econbiz.de/10009726804

A diffusion approximation for the riskless profit under selling of discrete time call options : non-identically distributed jumps

Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005

Brownian motion. -- asymptotic uniformity ; local limit theorem ; volatility …

Persistent link: https://www.econbiz.de/10009728974

Leverage and feedback effects on multifactor wishart stochastic volatility for option pricing

Asai, Manabu; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009724148

Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...

Persistent link: https://www.econbiz.de/10010226098

Volatility smirk as an externality of agency conflict and growing debt

Jaskowski, Marcin; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009784936

Extended Libor market models with affine and quadratic volatility

Zühlsdorff, Christian - 2002

dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the …

Persistent link: https://www.econbiz.de/10011538865

The pricing of derivatives on assets with quadratic volatility

Zühlsdorff, Christian - 2002

Black-Scholes formula for pricing the call option. The asset's volatility is a linear function of the asset value and the … solved for level-dependent volatility which is a quadratic polynomial. If zero is attainable, both absorption and negative … for an asset whose volatiliy is affine, the formula for the Bachelier model with constant volatility, and new formulae in …

Persistent link: https://www.econbiz.de/10011539634

Variance risk premiums in foreign exchange markets

Ammann, Manuel; Buesser, Ralf - 2013

Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums … general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …

Persistent link: https://www.econbiz.de/10010410031

Default risk in stochastic volatility models

Gersbach, Hans; Surulescu, Nicolae Mircea - 2010 - This version: June 2010

We consider a stochastic volatility model of the mean-reverting type to describe the evolution of a firm’s values … default probability. Our simulation results indicate that the stochastic volatility model tends to predict higher default … probabilities than the corresponding Merton model if a firm’s credit quality is not too low. Otherwise the stochastic volatility …

Persistent link: https://www.econbiz.de/10008748331