A generalised stochastic volatility in mean VAR
نویسندگان
چکیده
منابع مشابه
Mean escape time in a system with stochastic volatility.
We study the mean escape time in a market model with stochastic volatility. The process followed by the volatility is the Cox, Ingersoll, and Ross process which is widely used to model stock price fluctuations. The market model can be considered as a generalization of the Heston model, where the geometric Brownian motion is replaced by a random walk in the presence of a cubic nonlinearity. We i...
متن کاملAlternatives to Large Var, Varma and Multivariate Stochastic Volatility Models
In this paper, our proposal is to combine univariate ARMA models to produce a variant of the VARMA model that is much more easily implementable and does not involve certain complications. The original model is reduced to a series of univariate problems and a copula – like term (a mixture-of-normals densities) is introduced to handle dependence. Since the univariate problems are easy to handle b...
متن کاملA Fast Mean-reverting Correction to Heston Stochastic Volatility Model
We propose a multi-scale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertubative expansion is then used to obtain an approximation for European option prices. The resulting pricing formulas are semi-analytic, in the sense that they can be expressed as integrals. Difficulties associated with...
متن کاملA Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
We propose a multi-scale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertubative expansion is then used to obtain an approximation for European option prices. The resulting pricing formulas are semi-analytic, in the sense that they can be expressed as integrals. Difficulties associated with...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Economics Letters
سال: 2018
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2018.08.044