Zobrazeno 1 - 4
of 4
pro vyhledávání: '"Orcan Ogetbil"'
Autor:
Orcan Ogetbil, Bernhard Hientzsch
We propose a non-parametric extension with leverage functions to the Andersen commodity curve model. We calibrate this model to market data for WTI and NG including option skew at the standard maturities. While the model can be calibrated by an analy
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d0e61a89efb4cbe055a471a0308ebfd9
http://arxiv.org/abs/2212.07972
http://arxiv.org/abs/2212.07972
Publikováno v:
SSRN Electronic Journal.
We propose Monte Carlo calibration algorithms for three models: local volatility with stochastic interest rates, stochastic local volatility with deterministic interest rates and finally stochastic local volatility with stochastic interest rates. For
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e6cf8480225abed4685f1e97eeae7904
https://doi.org/10.2139/ssrn.3702442
https://doi.org/10.2139/ssrn.3702442
Autor:
Orcan Ogetbil
Publikováno v:
SSRN Electronic Journal.
We derive generalizations of Dupire formula to the cases of general stochastic drift and/or stochastic local volatility. First, we handle a case in which the drift is given as difference of two stochastic short rates. Such a setting is natural in for
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ea6443d461355c6074c871229485da1b
https://doi.org/10.2139/ssrn.3598736
https://doi.org/10.2139/ssrn.3598736
Autor:
ÖGETBIL, ORCAN1 (AUTHOR) orcan.ogetbil@wellsfargo.com, GANESAN, NARAYAN1 (AUTHOR) narayan.ganesan@wellsfargo.com, HIENTZSCH, BERNHARD1 (AUTHOR) bernhard.hientzsch@wellsfargo.com
Publikováno v:
International Journal of Theoretical & Applied Finance. Mar2022, Vol. 25 Issue 2, p1-43. 43p.