Stock Loan Model under Volatility Regime Switching

Stock Loan Valuation under Uncertain Mean-reverting Stock Model

This paper is concerned with valuation of stock loans. The underlying stock price is assumed to follow a mean reverting uncertain differential equation driven by canonical Liu process in this paper. The price formulas of standard stock loan and capped stock loan are derived by using method of uncertain calculus within the framework of uncertainty theory.

Pricing Volatility Swaps Under Heston’s Stochastic Volatility Model with Regime Switching

We develop a model for pricing volatility derivatives, such as variance swaps and volatility swaps under a continuous-time Markov-modulated version of the stochastic ∗The Corresponding Author: RBC Financial Group Professor of Finance, Haskayne School of Business, University of Calgary, Calgary, Alberta, Canada, T2N 1N4; Email: [email protected]; Fax: 403-770-8104; Tel: 403-220-5540 †Lecturer...

Valuation of stock loan under uncertain mean-reverting stock model

Stock loan is different from the traditional loan, it needs to be collateralized by stock. Fairly valuing stock loan is very important for financial market participants. The main contribution of this paper is to give a valuing method of stock loan in uncertain environment. Under the assumption that the underlying stock price follows an uncertain mean-reverting stock model, the price formulas of...

Markov Regime Switching Stochastic Volatility

This is a project on modeling time-varying volatility of S&P 500 weely return for the years 1990 to 2012 using Bayesian methods. First, MCMC on the log-stochastic volatility (SV) model is implemented with simulation results analyzed. Second, I generalize the SV model to encompass regime-switching properties with the markov switching log-stochastic volatility (MSSV) model, under which, high-vola...

Time delay model for the stochastic volatility with regime switching