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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 ...
The calibration of stochastic local-volatility models: an inverse problem perspective
(Elsevier, 2019)
We tackle the calibration of the Stochastic Local-Volatility (SLV) model. This is the class of financial models that combines the local volatility and stochastic volatility features and has been subject of the attention ...
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 ...
Exact Maximum Likelihood and Bayesian Estimation of the Stochastic Volatility ModelExact Maximum Likelihood and Bayesian Estimation of the Stochastic Volatility Model
(Sociedade Brasileira de Econometria, 2003)
Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility ModelsQuasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models
(Sociedade Brasileira de Econometria, 2007)
Quadrinomial trees with stochastic volatility to value real options
(Universidad ESAN. ESAN EdicionesPE, 2021-12-19)
Purpose. The purpose of this article is to propose a detailed methodology to estimate, model and incorporate the non-constant volatility onto a numerical tree scheme, to evaluate a real option, using a quadrinomial ...
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)