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Exact Pricing With Stochastic Volatility And Jumps
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Book Synopsis Exact Pricing with Stochastic Volatility and Jumps by : Fernanda D'Ippoliti
Download or read book Exact Pricing with Stochastic Volatility and Jumps written by Fernanda D'Ippoliti and published by . This book was released on 2014 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: A stochastic volatility jump-diffusion model for pricing derivatives with jumps in both spot returns and volatility dynamics is presented. This model admits, in the spirit of Heston, a closed-form solution for European-style options. The structure of the model is also suitable to obtain the fair delivery price of variance swaps. To evaluate derivatives whose value does not admit a closed-form expression, a methodology based on an "exact algorithm'', in the sense that no discretization of equations is required, is developed and applied to barrier options. Goodness of pricing algorithm is tested using DJ Euro Stoxx 50 market data for European options. Finally, the algorithm is applied to compute prices and Greeks of barrier options.
Book Synopsis Exact and Approximated Option Pricing in a Stochastic Volatility Jump-Diffusion Model by : Fernanda D'Ippoliti
Download or read book Exact and Approximated Option Pricing in a Stochastic Volatility Jump-Diffusion Model written by Fernanda D'Ippoliti and published by . This book was released on 2014 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a stochastic volatility jump-diffusion model for option pricing with contemporaneous jumps in both spot return and volatility dynamics. The model admits, in the spirit of Heston, a closed-form solution for European-style options. To evaluate more complex derivatives for which there is no explicit pricing expression, such as barrier options, a numerical methodology, based on an “exact algorithm” proposed by Broadie and Kaya, is applied. This technique is called exact as no discretisation of dynamics is required. We end up testing the goodness of our methodology using, as real data, prices and implied volatilities from the DJ Euro Stoxx 50 market and providing some numerical results for barrier options and their Greeks.
Book Synopsis Stochastic Volatility and Jump Diffusion Option Pricing Model by : Aytekin Sari
Download or read book Stochastic Volatility and Jump Diffusion Option Pricing Model written by Aytekin Sari and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing Vix Options with Stochastic Volatility and Random Jumps by : Guanghua Lian
Download or read book Pricing Vix Options with Stochastic Volatility and Random Jumps written by Guanghua Lian and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study presents an analytical exact solution for the price of VIX options under stochastic volatility model with simultaneous jumps in the asset price and volatility processes. We shall demonstrate that our new pricing formula can be used to efficiently compute the numerical values of a VIX option. While we also show that the numerical results obtained from our formula consistently match those obtained from Monte Carlo simulation perfectly as a verification of the correctness of our formula, numerical evidence is offered to illustrate that the correctness of the formula proposed in Lin & Chang (2009) is in serious doubt. Moreover, some important and distinct properties of VIX options (e.g., put-call parity, hedging ratios) are also examined and discussed.
Book Synopsis Option Pricing for a Stochastic-volatility Jump-diffusion Model by : Guoqing Yan
Download or read book Option Pricing for a Stochastic-volatility Jump-diffusion Model written by Guoqing Yan and published by . This book was released on 2006 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on the accurate and fast European option pricing formulas, we calibrate the models to S&P 500 Index option quotes by least squares method. Spot variance and structural parameters for different models including Black-Scholes, Stochastic-Volatility. SVJD-Uniform, SVJD-Normal, SVJD-DbExp are estimated. Fitting performance of different models are compared and our proposed SVJD-Uniform model is found to fit the market data the best.
Book Synopsis Mathematical and Statistical Methods for Actuarial Sciences and Finance by : Marco Corazza
Download or read book Mathematical and Statistical Methods for Actuarial Sciences and Finance written by Marco Corazza and published by Springer Science & Business Media. This book was released on 2011-06-07 with total page 315 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book features selected papers from the international conference MAF 2008 that cover a wide variety of subjects in actuarial, insurance and financial fields, all treated in light of the successful cooperation between mathematics and statistics.
Book Synopsis Jump Diffusion and Stochastic Volatility Models in Securities Pricing by : Mthuli Ncube
Download or read book Jump Diffusion and Stochastic Volatility Models in Securities Pricing written by Mthuli Ncube and published by . This book was released on 2012 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing Models of Volatility Products and Exotic Variance Derivatives by : Yue Kuen Kwok
Download or read book Pricing Models of Volatility Products and Exotic Variance Derivatives written by Yue Kuen Kwok and published by CRC Press. This book was released on 2022-05-08 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods. Features Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variance derivatives Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products Can be used as a university textbook in a topic course on pricing variance derivatives
Book Synopsis Index Option Pricing with Stochastic Volatility and the Value of Accurate by : Robert F. Engle
Download or read book Index Option Pricing with Stochastic Volatility and the Value of Accurate written by Robert F. Engle and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Volatility Models with Jumps and High Frequency Data by : Jonas Kau
Download or read book Stochastic Volatility Models with Jumps and High Frequency Data written by Jonas Kau and published by . This book was released on 2009 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Application of Stochastic Volatility Models in Option Pricing by : Pascal Debus
Download or read book Application of Stochastic Volatility Models in Option Pricing written by Pascal Debus and published by GRIN Verlag. This book was released on 2013-09-09 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelorarbeit aus dem Jahr 2010 im Fachbereich BWL - Investition und Finanzierung, Note: 1,2, EBS Universität für Wirtschaft und Recht, Sprache: Deutsch, Abstract: The Black-Scholes (or Black-Scholes-Merton) Model has become the standard model for the pricing of options and can surely be seen as one of the main reasons for the growth of the derivative market after the model ́s introduction in 1973. As a consequence, the inventors of the model, Robert Merton, Myron Scholes, and without doubt also Fischer Black, if he had not died in 1995, were awarded the Nobel prize for economics in 1997. The model, however, makes some strict assumptions that must hold true for accurate pricing of an option. The most important one is constant volatility, whereas empirical evidence shows that volatility is heteroscedastic. This leads to increased mispricing of options especially in the case of out of the money options as well as to a phenomenon known as volatility smile. As a consequence, researchers introduced various approaches to expand the model by allowing the volatility to be non-constant and to follow a sto-chastic process. It is the objective of this thesis to investigate if the pricing accuracy of the Black-Scholes model can be significantly improved by applying a stochastic volatility model.
Book Synopsis Second-order Approximations to Pricing and Hedging in Presence of Jumps and Stochastic Volatility by : Stephan Denkl
Download or read book Second-order Approximations to Pricing and Hedging in Presence of Jumps and Stochastic Volatility written by Stephan Denkl and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exact Simulation of Financial Models with Stochastic Volatility and Jumps, and Lattice Methods for Corporate Debt Pricing by : Ö̈̈zgü̈r Kaya
Download or read book Exact Simulation of Financial Models with Stochastic Volatility and Jumps, and Lattice Methods for Corporate Debt Pricing written by Ö̈̈zgü̈r Kaya and published by . This book was released on 2005 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Analytical Solvability and Exact Simulation of Stochastic Volatility Models with Jumps by : Pingping Jiang
Download or read book Analytical Solvability and Exact Simulation of Stochastic Volatility Models with Jumps written by Pingping Jiang and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We perform a thorough investigation on the analytical solvability of general stochastic volatility (SV) models with Levy jumps and propose a unified, accurate, and efficient almost exact simulation method to price various financial derivatives. Our theoretical results lay a foundation for a range of valuation, calibration, and econometric problems. Our almost exact simulation method is applicable to a broad class of models and enables effective pricing of path-dependent financial derivatives, whereas the traditional exact simulation method is always tailor-made for some specific models and is generally time-consuming, which limits its use in the case of path-dependent financial derivatives. More specifically, by combining a decomposition technique with a change of measure approach, we first develop a simple probabilistic method to derive a unified formula for the conditional characteristic function of the log-asset price under general SV models with Levy jumps and show under which conditions this new formula admits a closed-form expression. The conditional and unconditional joint characteristic functions of the log-asset price and the integrated variance can be easily obtained as byproducts. Second, we take advantage of our main theoretical result, the Hilbert transform method, the interpolation technique, and the dimension reduction technique to construct unified and efficient almost exact simulation schemes. Finally, we apply our almost exact simulation method to price European options, discretely monitored weighted variance swaps, and discretely monitored variance options under a wide variety of SV models with Levy jumps. Extensive numerical examples demonstrate the high level of accuracy and efficiency of our almost exact simulation method in terms of bias, root-mean-squared error (RMS error), and CPU time.
Author :Antoine Petrus Cornelius van der Ploeg Publisher :Rozenberg Publishers ISBN 13 :9051705778 Total Pages :358 pages Book Rating :4.0/5 (517 download)
Book Synopsis Stochastic volatility and the pricing of financial derivatives by : Antoine Petrus Cornelius van der Ploeg
Download or read book Stochastic volatility and the pricing of financial derivatives written by Antoine Petrus Cornelius van der Ploeg and published by Rozenberg Publishers. This book was released on 2006 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Numerical Analysis Of Stochastic Volatility Jump Diffusion Models by : Abdelilah Jraifi
Download or read book Numerical Analysis Of Stochastic Volatility Jump Diffusion Models written by Abdelilah Jraifi and published by LAP Lambert Academic Publishing. This book was released on 2014-06-30 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the modern economic world, the options contracts are used because they allow to hedge against the vagaries and risks refers to fluctuations in the prices of the underlying assets. The determination of the price of these contracts is of great importance for investors.We are interested in problems of options pricing, actually the European and Quanto options on a financial asset. The price of that asset is modeled by a multi-dimentional jump diffusion with stochastic volatility. Otherwise, the first model considers the volatility as a continuous process and the second model considers it as a jump process. Finally in the 3rd model, the underlying asset is without jump and volatility follows a model CEV without jump. This model allow better to take into account some phenomena observed in the markets. We develop numerical methods that determine the values of prices for these options. We first write the model as an integro-differential stochastic equations system "EIDS," of which we study existence and unicity of solutions. Then we relate the resolution of PIDE to the computation of the option value.
Book Synopsis Efficient pricing algorithms for exotic derivatives by : Roger Lord
Download or read book Efficient pricing algorithms for exotic derivatives written by Roger Lord and published by Rozenberg Publishers. This book was released on 2008 with total page 211 pages. Available in PDF, EPUB and Kindle. Book excerpt:
