Stochastic Volatility Option Pricing in Discrete Time PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Stochastic Volatility Option Pricing in Discrete Time PDF full book. Access full book title Stochastic Volatility Option Pricing in Discrete Time by Victor K. Ng. Download full books in PDF and EPUB format.
Author: Victor K. Ng
Publisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 25
Get Book Here
Book Description
Author: Victor K. Ng
Publisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 25
Get Book Here
Book Description
Author: Gopinath Kallianpur
Publisher: Springer Science & Business Media
ISBN: 1461205115
Category : Mathematics
Languages : en
Pages : 266
Get Book Here
Book Description
Since the appearance of seminal works by R. Merton, and F. Black and M. Scholes, stochastic processes have assumed an increasingly important role in the development of the mathematical theory of finance. This work examines, in some detail, that part of stochastic finance pertaining to option pricing theory. Thus the exposition is confined to areas of stochastic finance that are relevant to the theory, omitting such topics as futures and term-structure. This self-contained work begins with five introductory chapters on stochastic analysis, making it accessible to readers with little or no prior knowledge of stochastic processes or stochastic analysis. These chapters cover the essentials of Ito's theory of stochastic integration, integration with respect to semimartingales, Girsanov's Theorem, and a brief introduction to stochastic differential equations. Subsequent chapters treat more specialized topics, including option pricing in discrete time, continuous time trading, arbitrage, complete markets, European options (Black and Scholes Theory), American options, Russian options, discrete approximations, and asset pricing with stochastic volatility. In several chapters, new results are presented. A unique feature of the book is its emphasis on arbitrage, in particular, the relationship between arbitrage and equivalent martingale measures (EMM), and the derivation of necessary and sufficient conditions for no arbitrage (NA). {\it Introduction to Option Pricing Theory} is intended for students and researchers in statistics, applied mathematics, business, or economics, who have a background in measure theory and have completed probability theory at the intermediate level. The work lends itself to self-study, as well as to a one-semester course at the graduate level.
Author: Ioan Mihai Oancea
Publisher:
ISBN:
Category :
Languages : en
Pages : 48
Get Book Here
Book Description
This paper examines option pricing in a universe in which it is assumed that markets are incomplete. It derives multiperiod discrete time option bounds based on stochastic dominance considerations for a risk-averse investor holding only the underlying asset, the riskless asset and (possibly) the option for any type of underlying asset distribution, discrete or continuous. It then considers the limit behavior of these bounds for special categories of such distributions as trading becomes progressively more dense, tending to continuous time. It is shown that these bounds nest as special cases most, if not all, existing arbitrage- and equilibrium-based option pricing models. Thus, when the underlying asset follows a generalized diffusion both bounds converge to a single value. For jump-diffusion processes, stochastic volatility models, and GARCH processes the bounds remain distinct and define several new option pricing results containing as special cases the arbitrage-based results.
Author: Asmerilda Hitaj
Publisher:
ISBN:
Category :
Languages : en
Pages : 16
Get Book Here
Book Description
We propose a class of discrete-time stochastic volatility models that, in a parsimonious way, captures the time-varying higher moments observed in financial series. We build this class of models in order to reach two desirable results. Firstly, we have a recursive procedure for the characteristic function of the log price at maturity that allows a semi-analytical formula for option prices as in Heston and Nandi (2000). Secondly, we try to reproduce some features of the VIX Index. We derive a simple formula for the VIX index and use it for option pricing purposes.
Author: Francois-Stephane Robert Mantion
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Antonio Mele
Publisher: Springer Science & Business Media
ISBN: 1461545331
Category : Business & Economics
Languages : en
Pages : 156
Get Book Here
Book Description
Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed `stochastic volatility', or `conditional heteroskedasticity', has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs and uses new fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part shows how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint.
Author: Eli Rose
Publisher:
ISBN:
Category : Business mathematics
Languages : en
Pages : 103
Get Book Here
Book Description
This thesis makes original contributions to the field of asset pricing, which is a field dedicated to describing the prices of financial instruments and their characteristics. The prices of these financial instruments are determined by the behavior of investors who buy and sell them, and so asset pricing is ultimately done by modeling the behavior of investors. One method for achieving this is through the framework of stochastic dominance. This thesis specifically deals with a specific class of financial instruments called European options and reviews the literature on stochastic dominance option pricing and discusses new methods for finding stochastic dominance bounds on options in both discrete and continuous time under both deterministic and stochastic volatility. The results presented here extends the works of Ritchken and Kuo (1988) and Perrakis and Ryan (1984). Furthermore, stochastic dominance bounds for Heston's (1993) stochastic volatility model are obtained under certain assumptions. Finally, this thesis extends the work of Carr and Madan (1999) and solves for the characteristic function of the call price given the physical characteristic function under the CRRA utility model.
Author: RĀdiger Kiesel
Publisher: World Scientific
ISBN: 9814280100
Category : Business & Economics
Languages : en
Pages : 414
Get Book Here
Book Description
This book combines academic research and practical expertise on alternative assets and trading strategies in a unique way. The asset classes that are discussed include: credit risk, cross-asset derivatives, energy, private equity, freight agreements, alternative real assets (ARA), and socially responsible investments (SRI). The coverage on trading and investment strategies are directed at portfolio insurance, especially constant proportion portfolio insurance (CPPI) and constant proportion debt obligation (CPDO) strategies, robust portfolio optimization, and hedging strategies for exotic options.
Author: Giacomo Bormetti
Publisher:
ISBN:
Category :
Languages : en
Pages : 86
Get Book Here
Book Description
Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized measures to the latent conditional variance. A semi-analytical option pricing framework is developed for this class of models. In addition, we provide analytical filtering and smoothing recursions for the basic specification of the model, and an effective MCMC algorithm for its richer variants. The empirical analysis shows the effectiveness of filtering and smoothing realized measures in inflating the latent volatility persistence - the crucial parameter in pricing Standard and Poor's 500 Index options.
Author: Stefano Herzel
Publisher:
ISBN:
Category :
Languages : en
Pages : 248
Get Book Here
Book Description
