Analysis of market weights under volatility-stabilized market models
نویسندگان
چکیده
منابع مشابه
Analysis of Stock Market Volatility by Continuous-time GARCH Models
The discrete time ARCH/GARCH model of Engle and Bollarslev has been enormously influential and successful in the modelling of financial data. Recently, Klüppelberg, Lindner, andMaller (2004) introduced the so-called “COGARCH”model as a continuoustime analogue to the GARCH model. Many aspects of the COGARCH have been investigated, including various of its theoretical properties, its relations to...
متن کاملComplete-market Models of Stochastic Volatility
In the Black-Scholes option pricing theory, asset prices are modelled as geometric Brownian motion with a fixed volatility parameter σ, and option prices are determined as functions of the underlying asset price. Options are in principle redundant in that their exercise values can be replicated by trading in the underlying. However, it is an empirical fact that the prices of exchange-traded opt...
متن کاملVolatility Derivatives in Market Models with Jumps
It is well documented that a model for the underlying asset price process that seeks to capture the behaviour of the market prices of vanilla options needs to exhibit both diffusion and jump features. In this paper we assume that the asset price process S is Markov with càdlàg paths and propose a scheme for computing the law of the realized variance of the log returns accrued while the asset wa...
متن کاملAsset Allocation Models and Market Volatility
While asset allocation and risk management models all assume at least short-term stability of the covariance structure of asset returns, actual covariance and correlation relationships vary wildly, even over short horizons. Moreover, correlations increase in volatile periods, reducing the power of diversification when it might most be desired. We attempt to explain these phenomena and to presen...
متن کاملVolatility Analysis of Nepalese Stock Market
Modeling and forecasting volatility of capital markets has been important area of inquiry and research in financial economics with the recognition of time-varying volatility, volatility clusturing, and asymmetric response of volatility to market movements. Given the anticipated growth of the Nepalese stock market and increasing interest of investors towards investment in Nepalese stock market, ...
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: The Annals of Applied Probability
سال: 2011
ISSN: 1050-5164
DOI: 10.1214/10-aap725