搜索结果: 1-6 共查到“商业经济学 stochastic volatility models”相关记录6条 . 查询时间(0.085 秒)
On Calibrating Stochastic Volatility Models with time-dependent Parameters
Calibrating Stochastic Volatility Models time-dependent Parameters
2010/10/22
We consider stochastic volatility models using piecewise constant parameters. We suggest a hybrid optimization algorithm for fitting the models to a volatility surface and provide some numerical resu...
Small-time asymptotics for fast mean-reverting stochastic volatility models
Small-time asymptotics fast mean-reverting stochastic volatility models
2010/10/21
In this paper, we study stochastic volatility models in regimes where the maturity is small but large compared to the mean-reversion time of the stochastic volatility factor. The problem falls in the...
A contribution to the systematics of stochastic volatility models
fluctuations econophysics stochastic differential equations
2010/10/21
We compare systematically several classes of stochastic volatility models of stock market fluctuations. We show that the long-time return distribution is either Gaussian or develops a power-law tail,...
Valuation equations for stochastic volatility models
Valuation equations stochastic volatility models
2010/10/20
We study the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models. The standard Feynman-Kac theorem cannot be directly applied ...
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
Spectral Decomposition Option Prices Fast Mean-Reverting Stochastic Volatility Models
2010/10/21
Using spectral decomposition techniques and singular perturbation theory, we develop a systematic method to approximate the prices of a variety of options in a fast mean-reverting stochastic volatilit...
Moment Explosions and Long-Term Behavior of Affine Stochastic Volatility Models
Moment Explosions Long-Term Behavior Affine Stochastic Volatility Models
2010/12/13
We consider a class of asset pricing models, where the risk-neutral joint process of log-price and its stochastic variance is an affine process in the sense of Duffie, Filipovic and Schachermayer [20...