Zobrazeno 1 - 10
of 18 401
pro vyhledávání: '"Stochastic Volatility"'
Autor:
Min-Ku Lee, Jeong-Hoon Kim
Publikováno v:
AIMS Mathematics, Vol 9, Iss 9, Pp 25545-25576 (2024)
In this paper, we proposed a stochastic volatility model in which the volatility was given by stochastic processes representing two characteristic time scales of variation driven by approximate fractional Brownian motions with two Hurst exponents. We
Externí odkaz:
https://doaj.org/article/eddda410abe24f519cf9a859097d9323
Publikováno v:
Turkish Journal of Islamic Economics, Vol 11, Iss 2, Pp 59-83 (2024)
Integration in financial markets offers opportunities for free flow of information and capital for international investments. However, this also poses challenges for maintaining effective international portfolio diversification due to heightened mark
Externí odkaz:
https://doaj.org/article/216c198995df4776b9afd3b302918143
Autor:
Xin-Jiang He, Sha Lin
Publikováno v:
Financial Innovation, Vol 10, Iss 1, Pp 1-23 (2024)
Abstract The effects of stochastic volatility, jump clustering, and regime switching are considered when pricing variance swaps. This study established a two-stage procedure that simplifies the derivation by first isolating the regime switching from
Externí odkaz:
https://doaj.org/article/5f5125cb6cd2499aafba454857ed1f7e
Autor:
Per B. Solibakke
Publikováno v:
Quantitative Finance and Economics, Vol 8, Iss 3, Pp 466-501 (2024)
Financial commodity markets have an impact on company values and cash flows, where price movements within frequent time intervals can be both significant and random. Understanding highly frequent price movements is both important and difficult. In th
Externí odkaz:
https://doaj.org/article/f615dae64c6342a78db51448faa8f1af
Autor:
Xin-Jiang He, Sha Lin
Publikováno v:
AIMS Mathematics, Vol 9, Iss 8, Pp 22225-22238 (2024)
The CIR stochastic volatility model is modified to introduce nonlinear mean reversion, with the long-run volatility average as a random variable controlled by two parts being modeled through a Brownian motion and a Markov chain, respectively. This mo
Externí odkaz:
https://doaj.org/article/c4cb729213e4463082470662b52730c7
Autor:
Juan Angel Garcia, Ricardo Gimeno
Publikováno v:
Latin American Journal of Central Banking, Vol 5, Iss 4, Pp 100133- (2024)
The return of high inflation in Latin America (and worldwide) since 2021 has renewed concerns about the persistence of above-target inflation and a potential de-anchoring of inflation expectations. This paper shows that trend inflation estimation usi
Externí odkaz:
https://doaj.org/article/77c2c92796334388a5f4deae01d30eda
Autor:
Jang, Bong-Gyu, Koo, Hyeng Keun
Publikováno v:
Journal of Derivatives and Quantitative Studies: 선물연구, 2024, Vol. 32, Issue 2, pp. 86-115.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/JDQS-12-2023-0043
Autor:
Kevin Z. Tong
Publikováno v:
Journal of Management Science and Engineering, Vol 9, Iss 2, Pp 239-253 (2024)
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 diffusions
Externí odkaz:
https://doaj.org/article/92e8c37e4bbf40c2a7d51b59e8addf4b
Autor:
Bong-Gyu Jang, Hyeng Keun Koo
Publikováno v:
Seonmul yeongu, Vol 32, Iss 2, Pp 86-115 (2024)
We present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the option price can be expressed as the sum of two components: the price of a European put option and the premium associated with the
Externí odkaz:
https://doaj.org/article/20d3cb5a78c54dd6a8af0f6b5ccfded3