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Comparison results for stochastic volatility models via

✍ Scribed by David Hobson

Publisher
Springer-Verlag
Year
2008
Tongue
English
Weight
552 KB
Volume
14
Category
Article
ISSN
0949-2984

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πŸ“œ SIMILAR VOLUMES

A comparison between several correlated
A comparison between several correlated stochastic volatility models
✍ Josep PerellΓ³; Jaume Masoliver; NapoleΓ³n Anento πŸ“‚ Article πŸ“… 2004 πŸ› Elsevier Science 🌐 English βš– 512 KB

We compare the most common stochastic volatility models such as the Ornstein-Uhlenbeck (OU), the Heston and the exponential OU models. We try to decide which is the most appropriate one by studying their volatility autocorrelation and leverage effect, and thus outline the limitations of each model.

Recursive estimation for continuous time
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✍ H. Gong; A. Thavaneswaran πŸ“‚ Article πŸ“… 2009 πŸ› Elsevier Science 🌐 English βš– 401 KB

Volatility plays an important role in portfolio management and option pricing. Recently, there has been a growing interest in modeling volatility of the observed process by nonlinear stochastic process [S.J. Taylor, Asset Price Dynamics, Volatility, and Prediction, Princeton University Press, 2005;

Testing for jumps in the stochastic vola
Testing for jumps in the stochastic volatility models
✍ Masahito Kobayashi πŸ“‚ Article πŸ“… 2009 πŸ› Elsevier Science 🌐 English βš– 255 KB

This paper proposes the Lagrange multiplier (LM) test, or the score test, for jumps in the stochastic volatility (SV) model in the cases where the innovation term follows the normal and Student t-distributions. The tested null hypothesis is that the jump density has zero variance, which is expressed

Multiple time scales and the empirical m
Multiple time scales and the empirical models for stochastic volatility
✍ G.L. Buchbinder; K.M. Chistilin πŸ“‚ Article πŸ“… 2007 πŸ› Elsevier Science 🌐 English βš– 328 KB

The most common stochastic volatility models such as the Ornstein-Uhlenbeck (OU), the Heston, the exponential OU (ExpOU) and Hull-White models define volatility as a Markovian process. In this work we check the applicability of the Markovian approximation at separate times scales and will try to ans