Option Pricing Under Stochastic Volatility and Stochastic Interest Rate in the Spanish Case PDF Download
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Author: Marc Sáez
Publisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 29
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Book Description
Author: Marc Sáez
Publisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 29
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Book Description
Author: Marc Sáez i Zafra
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Hideharu Funahashi
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper extends the Wiener-Ito chaos expansion approach proposed by Funahashi and Kijima (2013) to an equity-interest-rate hybrid model for the pricing of European contingent claims with special emphasis on calibration to the option markets. Our model can capture the volatility skew and smile of option markets, as well as the stochastic nature of interest rates. Further, the proposed method is applicable to widely used option pricing models such as local volatility models, stochastic volatility models, and their combinations with the stochastic nature of interest rates; hence, it is suitable for practical purposes. Through numerical examples, we show that our approximation is quite accurate even for long-maturity and/or high-volatility cases.
Author:
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Category :
Languages : un
Pages :
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Author: Jannick B. G. Schreiner
Publisher:
ISBN:
Category :
Languages : en
Pages : 71
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Book Description
Author: George J. Jiang
Publisher:
ISBN:
Category :
Languages : en
Pages : 39
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Author: Alexey Medvedev
Publisher:
ISBN:
Category :
Languages : en
Pages : 48
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Book Description
Author: Alexander van Haastrecht
Publisher:
ISBN: 9789085705208
Category :
Languages : en
Pages : 231
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Book Description
Author: Dimitrios Gkamas
Publisher:
ISBN:
Category :
Languages : en
Pages : 388
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Book Description
Author: Evdokia Xekalaki
Publisher: John Wiley & Sons
ISBN: 9780470688021
Category : Mathematics
Languages : en
Pages : 558
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Book Description
Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to model asset price volatility over time. This book introduces both the theory and applications of ARCH models and provides the basic theoretical and empirical background, before proceeding to more advanced issues and applications. The Authors provide coverage of the recent developments in ARCH modelling which can be implemented using econometric software, model construction, fitting and forecasting and model evaluation and selection. Key Features: Presents a comprehensive overview of both the theory and the practical applications of ARCH, an increasingly popular financial modelling technique. Assumes no prior knowledge of ARCH models; the basics such as model construction are introduced, before proceeding to more complex applications such as value-at-risk, option pricing and model evaluation. Uses empirical examples to demonstrate how the recent developments in ARCH can be implemented. Provides step-by-step instructive examples, using econometric software, such as Econometric Views and the G@RCH module for the Ox software package, used in Estimating and Forecasting ARCH Models. Accompanied by a CD-ROM containing links to the software as well as the datasets used in the examples. Aimed at readers wishing to gain an aptitude in the applications of financial econometric modelling with a focus on practical implementation, via applications to real data and via examples worked with econometrics packages.
