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Exponential Levy models with stochastic volatility and stochastic jump-intensity
spectral theory normal operator Levy process stochastic volatility stochastic jump-intensity
2012/6/4
We consider the problem of valuing a European option written on an asset whose dynamics are described by an exponential L\'evy-type model. Both the volatility and jump-intensity of the L\'evy process ...
Homogeneous Volatility Bridge Estimators
volatility variance estimators efficiency Wiener processes homoge-neous functions
2010/11/3
We present a theory of homogeneous volatility bridge estimators for log-price stochastic processes. The main tool of our theory is the parsimonious encoding of the information contained in the open, h...
Volatility forecasts and the at-the-money implied volatility: a multi-components ARCH approach and its relation with market models
Volatility forecasts at-the-money implied relation
2010/10/29
For a given time horizon T, this article explores the relationship between the realized volatility (the volatility that will occur between t and t + T), the implied volatility (corresponding to at-t...
Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model
Econophysics Stochastic Volatility Monte Carlo Simulation Option Pricing Model Calibration
2010/11/1
We consider the problem of option pricing under stochastic volatility models, focusing on
the linear approximation of the two processes known as exponential Ornstein-Uhlenbeck
and Stein-Stein.
Stochastic Volatility Models Including Open, Close, High and Low Prices
Stochastic Volatility Models Prices
2010/10/29
Mounting empirical evidence suggests that the observed extreme prices within a trading
period can provide valuable information about the volatility of the process within that period. In this paper we...