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Option pricing under multiscale stochastic volatility
(2015)
The stochastic volatility model proposed by Fouque, Papanicolaou, and Sircar (2000) explores a fast and a slow time-scale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility ...
Stochastic volatility and option pricing in the Brazilian stock market: an empirical investigation
(2005)
The stochastic volatility model (SVPS) proposed by Fouque et al. (2000a) explores a rapid timescale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility smile implied by close ...
Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models
(Pontificia Universidad Católica del Perú. Departamento de EconomíaPE, 2021)
Stochastic volatility in mean models with scale mixtures of normal distributions and correlated errors: A Bayesian approach
(Elsevier Science BvAmsterdamHolanda, 2011)
Unspanned stochastic volatility and fixed income derivatives pricing
(ELSEVIER SCIENCE BV, 2005)
We propose a parsimonious 'unspanned stochastic volatility' model of the term structure and study its implications for fixed-income option prices. The drift and quadratic variation of the short rate are affine in three ...
Stochastic Volatility in Mean. Empirical Evidence from Stock Latin American Markets
(Pontificia Universidad Católica del Perú. Departamento de EconomíaPE, 2021)
Stochastic volatility in mean models with heavy-tailed distributions
(Brazilian Statistical AssociationSao PauloBrasil, 2012)
Threshold Stochastic Volatility Models with Heavy Tails: A Bayesian Approach
(Pontificia Universidad Católica del Perú, 2019)
Underlying dynamics of typical fluctuations of an emerging market price index: the Heston model from minutes to months
(Elsevier B.V., 2006-02-15)
We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for ...
Underlying dynamics of typical fluctuations of an emerging market price index: the Heston model from minutes to months
(Elsevier B.V., 2006-02-15)
We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for ...