搜索结果: 1-14 共查到“商业经济学 Volatility”相关记录14条 . 查询时间(0.131 秒)
On Calibrating Stochastic Volatility Models with time-dependent Parameters
Calibrating Stochastic Volatility Models time-dependent Parameters
2010/10/22
We consider stochastic volatility models using piecewise constant parameters. We suggest a hybrid optimization algorithm for fitting the models to a volatility surface and provide some numerical resu...
Density quantization method in the optimal portfolio choice with partial observation of stochastic volatility
Optimal portfolio partial observation ltering density
2010/10/21
Computational aspects of the optimal consumption and investment with the partially observed stochastic volatility of the asset prices are considered. The new quantization approach to filtering - dens...
Analytical and Numerical Approaches to Pricing the Path-Dependent Options with Stochastic Volatility
Analytical Numerical Pricing Path-Dependent Options Stochastic Volatility
2010/10/21
In this paper new analytical and numerical approaches to valuating path-dependent options of European type have been developed. The model of stochastic volatility as a basic model has been chosen. Fo...
Small-time asymptotics for fast mean-reverting stochastic volatility models
Small-time asymptotics fast mean-reverting stochastic volatility models
2010/10/21
In this paper, we study stochastic volatility models in regimes where the maturity is small but large compared to the mean-reversion time of the stochastic volatility factor. The problem falls in the...
A contribution to the systematics of stochastic volatility models
fluctuations econophysics stochastic differential equations
2010/10/21
We compare systematically several classes of stochastic volatility models of stock market fluctuations. We show that the long-time return distribution is either Gaussian or develops a power-law tail,...
Valuation equations for stochastic volatility models
Valuation equations stochastic volatility models
2010/10/20
We study the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models. The standard Feynman-Kac theorem cannot be directly applied ...
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
Stochastic volatility Heston model fast mean-reversion
2010/10/21
We propose a multi-scale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertubative expansion is...
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
Spectral Decomposition Option Prices Fast Mean-Reverting Stochastic Volatility Models
2010/10/21
Using spectral decomposition techniques and singular perturbation theory, we develop a systematic method to approximate the prices of a variety of options in a fast mean-reverting stochastic volatilit...
A Cautious Note on the Design of Volatility Derivatives
3/2 volatility model variance swap num´ eraire portfolio
2010/10/21
This cautious note aims to point at the potential risks for the financial system caused by various increasingly popular volatility derivatives including variance swaps on futures of equity indices. It...
On the Value–Volatility Relationship in a Real Options Model
investment analysis option-pricing theory finance nonlinear stochastic differential equation
2009/5/7
In the analytical real options approach, the most important proposition that the value of the investment opportunity increases as the volatility increases has been proved by assuming the convexity of...
Moment Explosions and Long-Term Behavior of Affine Stochastic Volatility Models
Moment Explosions Long-Term Behavior Affine Stochastic Volatility Models
2010/12/13
We consider a class of asset pricing models, where the risk-neutral joint process of log-price and its stochastic variance is an affine process in the sense of Duffie, Filipovic and Schachermayer [20...
Multivariate stochastic volatility using state space models
Multivariate stochastic volatility state space models
2010/12/13
A Bayesian procedure is developed for multivariate stochastic volatility, using state space models. An autoregressive model for the log-returns is employed. We generalize the inverted Wishart distrib...
Forecasting volatility with the multifractal random walk model
Forecasting volatility the multifractal random walk model
2010/12/13
We study the problem of forecasting volatility for the multifractal random walk model. In order to avoid the ill posed problem of estimating the correlation length T of the model, we introduce a limit...