Estimating the parameters of 3/2 stochastic volatility model with jump

Autor:	Ali Safdari-Vaighani, Pooya Garshasebi
Jazyk:	angličtina
Rok vydání:	2023
Předmět:	black-scholes model stochastic volatility models 3/2 model 3/2 plus jump model Finance HG1-9999 Mathematics QA1-939
Zdroj:	Mathematics and Modeling in Finance, Vol 3, Iss 1, Pp 137-143 (2023)
Druh dokumentu:	article
ISSN:	2783-0578 2783-056X
DOI:	10.22054/jmmf.2023.75272.1101
Popis:	The financial markets reveal stylized facts that could not be captured by Black-Scholes partial differential equations (PDEs). In this research, we investigate 3/2 stochastic volatility to pricing options which is more compatible with the interpretation of implied volatility. Numerical study and calibrations show that the 3/2 model incorporating jumps effectively encompasses key market characteristics attributed. However, it requires more estimating parameters in comparison to the pure diffusion model. Stochastic volatility models with jumps describe the log return features of the financial market although more parameters are involved in estimations.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/52135bfc918c477f8706d1ac02ce1d46 Zobrazit plný text záznamu View record in DOAJ