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Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure

Autor: Pospíšil, Jan, Sobotka, Tomáš, Ziegler, Philipp

Publikováno v: Empir. Econ. 57(6), 1935-1958, 2019

In this paper we perform robustness and sensitivity analysis of several continuous-time stochastic volatility (SV) models with respect to the process of market calibration. The analyses should validate the hypothesis on importance of the jump part in

Externí odkaz: http://arxiv.org/abs/1912.06709

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Decomposition formula for jump diffusion models

Autor: Merino, Raul, Pospíšil, Jan, Sobotka, Tomáš, Vives, Josep

Publikováno v: Int. J. Theor. Appl. Finance 21(8), 1850052, 2018

In this paper we derive a generic decomposition of the option pricing formula for models with finite activity jumps in the underlying asset price process (SVJ models). This is an extension of the well-known result by Alos (2012) for Heston (1993) SV

Externí odkaz: http://arxiv.org/abs/1906.06930

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Decomposition formula for rough Volterra stochastic volatility models

Autor: Merino, Raul, Pospíšil, Jan, Sobotka, Tomáš, Sottinen, Tommi, Vives, Josep

The research presented in this article provides an alternative option pricing approach for a class of rough fractional stochastic volatility models. These models are increasingly popular between academics and practitioners due to their surprising con

Externí odkaz: http://arxiv.org/abs/1906.07101

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