Uncertain Volatility Models with Stochastic Bounds

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Complete Models with Stochastic Volatility

The paper proposes an original class of models for the continuous time price process of a nancial security with non-constant volatility. The idea is to deene instantaneous volatility in terms of exponentially-weighted moments of historic log-price. The instantaneous volatility is therefore driven by the same stochastic factors as the price process, so that unlike many other models of non-consta...

متن کامل

Pricing American options with uncertain volatility through stochastic linear complementarity models

We consider the problem of pricing American options with uncertain volatility and propose two deterministic formulations based on the expected value method and the expected residual minimization method for a stochastic complementarity problem. We give sufficient conditions that ensure the existence of a solution of those deterministic formulations. Furthermore we show numerical results and disc...

متن کامل

Dynamic Factor Models with Stochastic Volatility

I introduce posterior simulation methods for a dynamic latent factor model featuring both mean and variance factors. The cross-sectional dimension may be large, so the methods are applicable to data-rich environments. I apply the new methods in two empirical applications. The first involves a panel of 10 currencies, with daily log returns observed over a decade; the second, a panel of 134 real ...

متن کامل

Stochastic volatility models with possible extremal clustering

In this paper we consider a heavy-tailed stochastic volatility model, Xt = σtZt , t ∈ Z, where the volatility sequence (σt ) and the i.i.d. noise sequence (Zt ) are assumed independent, (σt ) is regularly varying with index α > 0, and the Zt ’s have moments of order larger than α. In the literature (see Ann. Appl. Probab. 8 (1998) 664–675, J. Appl. Probab. 38A (2001) 93–104, In Handbook of Fina...

متن کامل

Stochastic Volatility Models with Transaction Time Risk

We provide a structural approach to disentangle Granger versus instantaneous causality effects from transaction durations to transaction prices. So far, in the literature, instantaneous causality effects have either been excluded or cannot be identified separately from Granger type causality effects. By giving explicit moment conditions for observed returns over (random) transaction duration in...

متن کامل

ذخیره 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: SIAM Journal on Financial Mathematics

سال: 2018

ISSN: 1945-497X

DOI: 10.1137/17m1116908