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   Articles with "stochastic volatility" as a keyword



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

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recommendations! Published in 2018 at "Empirical Economics"

DOI: 10.1007/s00181-018-1535-3

Abstract: 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… read more here.

Keywords: sensitivity; stochastic volatility; robustness sensitivity; volatility models ... See more keywords
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Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model

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recommendations! Published in 2017 at "Methodology and Computing in Applied Probability"

DOI: 10.1007/s11009-017-9548-5

Abstract: We consider the stochastic volatility model dSt = σtStdWt,dσt = ωσtdZt, with (Wt,Zt) uncorrelated standard Brownian motions. This is a special case of the Hull-White and the β=1 (log-normal) SABR model, which are widely used… read more here.

Keywords: model; stochastic volatility; volatility model; hull white ... See more keywords
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Option Pricing with Fractional Stochastic Volatility and Discontinuous Payoff Function of Polynomial Growth

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recommendations! Published in 2018 at "Methodology and Computing in Applied Probability"

DOI: 10.1007/s11009-018-9650-3

Abstract: We consider the pricing problem related to payoffs of polynomial growth that can have discontinuities of the 1st kind. The asset price dynamic is modeled within the Black-Scholes framework characterized by a stochastic volatility term… read more here.

Keywords: stochastic volatility; option; polynomial growth; volatility ... See more keywords
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Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model

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recommendations! Published in 2018 at "Frontiers of Mathematics in China"

DOI: 10.1007/s11464-018-0705-0

Abstract: We consider the Euler-Maruyama discretization of stochastic volatility model dSt = σtStdWt, dσt = ωσtdZt, t ∈ [0, T], which has been widely used in financial practice, where Wt,Zt, t ∈ [0, T], are two… read more here.

Keywords: stochastic volatility; volatility; moderate deviations; euler maruyama ... See more keywords
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Probabilistic electricity price forecasting with Bayesian stochastic volatility models

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recommendations! Published in 2019 at "Energy Economics"

DOI: 10.1016/j.eneco.2019.02.004

Abstract: Abstract The study is focused on probabilistic forecasts of day-ahead electricity prices. The Bayesian approach allows for conducting statistical inference about model parameters, latent volatility, jump times and their sizes. Moreover, the Bayesian forecasting takes… read more here.

Keywords: volatility; price; probabilistic electricity; stochastic volatility ... See more keywords
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Stochastic volatility, jumps and leverage in energy and stock markets: Evidence from high frequency data

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recommendations! Published in 2019 at "Energy Economics"

DOI: 10.1016/j.eneco.2019.104481

Abstract: Abstract In this paper, we propose a model for futures returns that has the potential to provide both individual investors and firms who have positions in financial and energy commodity futures a valid tail risk… read more here.

Keywords: leverage; volatility jumps; stochastic volatility; energy ... See more keywords
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Estimating stochastic volatility with jumps and asymmetry in Asian markets

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recommendations! Published in 2017 at "Finance Research Letters"

DOI: 10.1016/j.frl.2017.10.021

Abstract: Abstract This study investigates the impact of stock market cycles on the volatility of Asian markets. It specifically addresses the combined effect of jumps, asymmetry and stochasticity while predicting the market volatility. Our results indicate… read more here.

Keywords: stochastic volatility; jumps asymmetry; volatility; asian markets ... See more keywords
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Unspanned stochastic volatility from an empirical and practical perspective

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recommendations! Published in 2021 at "Journal of Banking and Finance"

DOI: 10.1016/j.jbankfin.2020.105993

Abstract: This paper is concerned with resolving the empirical unspanned stochastic volatility (USV) question from a hedging point of view. We hedge caps that trade in the Johannesburg swap market, as well as caps simulated from… read more here.

Keywords: stochastic volatility; volatility; empirical practical; unspanned stochastic ... See more keywords
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Scalable inference for a full multivariate stochastic volatility model

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recommendations! Published in 2021 at "Journal of Econometrics"

DOI: 10.1016/j.jeconom.2021.09.013

Abstract: We introduce a multivariate stochastic volatility model for asset returns that imposes no restrictions to the structure of the volatility matrix and treats all its elements as functions of latent stochastic processes. When the number… read more here.

Keywords: stochastic volatility; volatility; multivariate; volatility model ... See more keywords
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An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model

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recommendations! Published in 2017 at "Journal of Mathematical Analysis and Applications"

DOI: 10.1016/j.jmaa.2016.11.061

Abstract: Abstract In this paper, we study a double-barrier option with a stochastic volatility model whose volatility is driven by a fast mean-reverting process, where the option's payoff is extinguished as the underlying asset crosses one… read more here.

Keywords: volatility; double barrier; stochastic volatility; barrier option ... See more keywords
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Bitcoin: Safe haven, hedge or diversifier? Perception of bitcoin in the context of a country’s economic situation — A stochastic volatility approach

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recommendations! Published in 2019 at "Physica A: Statistical Mechanics and its Applications"

DOI: 10.1016/j.physa.2019.04.145

Abstract: Abstract The aim of the article is to verify whether bitcoin can act as a hedge, diversifier or safe haven on various stock markets, depending on the economic situation in the countries. To diversify the… read more here.

Keywords: economic situation; hedge; bitcoin; case ... See more keywords