Closed Form Approximation Of Timer Option Prices Under General Stochastic Volatility Models

DOWNLOAD

Download Closed Form Approximation Of Timer Option Prices Under General Stochastic Volatility Models PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Closed Form Approximation Of Timer Option Prices Under General Stochastic Volatility Models book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page

Closed Form Approximation Of Timer Option Prices Under General Stochastic Volatility Models

DOWNLOAD
Author : Minqiang Li
language : en
Publisher:
Release Date : 2013

Closed Form Approximation Of Timer Option Prices Under General Stochastic Volatility Models written by Minqiang Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.

We develop an asymptotic expansion technique for pricing timer options under general stochastic volatility models around small volatility of variance. Closed-form approximation formulas have been obtained for the Heston model and the 3/2-model. The approximation has an easy-to-understand Black-Scholes-like form and many other attractive properties. Numerical analysis shows that the approximation formulas are very fast and accurate.

Option Pricing With Long Memory Stochastic Volatility Models

DOWNLOAD
Author : Zhigang Tong
language : en
Publisher: LAP Lambert Academic Publishing
Release Date : 2013

Option Pricing With Long Memory Stochastic Volatility Models written by Zhigang Tong and has been published by LAP Lambert Academic Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.

It is now known that long memory stochastic volatility models can capture the well-documented evidence of volatility persistence. However, due to the complex structures of the long memory processes, the analytical formulas for option prices are not available yet. In this book, we propose two fractional continuous time stochastic volatility models which are built on the popular short memory stochastic volatility models. Using the tools from stochastic calculus, fractional calculus and Fourier transform, we derive the (approximate) analytical solutions for option prices. We also numerically study the effects of long memory on option prices. We show that the fractional integration parameter has the opposite effect to that of volatility of volatility parameter. We also find that long memory models can accommodate the short term options and the decay of volatility skew better than the corresponding short memory models. These findings would appeal to the researchers and practitioners in the areas of quantitative finance.

Analytical Approximations Of Option Prices In Stochastic Volatility Models

DOWNLOAD
Author :
language : en
Publisher:
Release Date : 2007

Analytical Approximations Of Option Prices In Stochastic Volatility Models written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.

Empirical Performance Of Option Pricing Models With Stochastic Local Volatility

DOWNLOAD
Author : Greg Orosi
language : en
Publisher:
Release Date : 2014

Empirical Performance Of Option Pricing Models With Stochastic Local Volatility written by Greg Orosi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.

We examine the empirical performance of several stochastic local volatility models that are the extensions of the Heston stochastic volatility model. Our results indicate that the stochastic volatility model with quadratic local volatility significantly outperforms the stochastic volatility model with CEV type local volatility. Moreover, we compare the performance of these models to several other benchmarks and find that the quadratic local volatility model compares well to the best performing option pricing models reported in the current literature for European-style S&P500 index options. Our results also indicate that the model with quadratic local volatility reproduces the characteristics of the implied volatility surface more accurately than the Heston model. Finally, we demonstrate that capturing the shape of the implied volatility surface is necessary to price binary options accurately.

Stochastic Volatility Models With Applications To Option Pricing

DOWNLOAD
Author : K. Khorasani
language : en
Publisher:
Release Date : 1998

Stochastic Volatility Models With Applications To Option Pricing written by K. Khorasani and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Hedging (Finance) categories.

Pricing Options Under Simultaneous Stochastic Volatility And Jumps

DOWNLOAD
Author : Moawia Alghalith
language : en
Publisher:
Release Date : 2019

Pricing Options Under Simultaneous Stochastic Volatility And Jumps written by Moawia Alghalith and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.

We overcome the limitations of the previous literature in the European options pricing. In doing so, we provide a closed-form formula that doesn't require any numerical/computational methods. The formula is as simple as the classical Black-Scholes pricing formula. In addition, we simultaneously include jumps and stochastic volatility.

Option Pricing Under Stochastic Volatility And Trading Volume

DOWNLOAD
Author : Sadayuki Ono
language : en
Publisher:
Release Date : 2005

Option Pricing Under Stochastic Volatility And Trading Volume written by Sadayuki Ono and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.

This paper presents a pricing formula for European options that is derived from a model in which changes in the underlying price and trading volumes are jointly determined by exogenous events. The joint determination of volume and price changes provides a crucial link between volatility of the price process and an observable variable. The model works as follows: the process of information arrival (news) is taken to be a point process that induces simultaneous jumps in price and trading volume. In addition, price has a diffusion component that corresponds to background noise, and the parameter that governs the volatility of this component is a continuously weighted average of past trading volume. This specification makes increments to the volatility process depend on the current level of volatility and news and thereby accounts for the observed persistence in volatility. Moreover, it makes volatility an observable instead of a latent variable, as it is in the usual stochastic volatility setups. Options can be priced as in the Heston framework by inverting the conditional characteristic function of underlying price at expiration. We find that the model accounts well for time varying volatility smiles and term structures and that out-of-sample price forecasts for a sample of stock options are superior not only to those of standard stochastic volatility models but even to the benchmark ad hoc procedure of plugging current implicit volatilities into the Black-Scholes formula.

Stochastic Volatility Models

DOWNLOAD
Author : Jian Yang
language : en
Publisher:
Release Date : 2006

Stochastic Volatility Models written by Jian Yang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.

A Closed Form Approach To Valuing Risk Neutral Moments From Option Prices

DOWNLOAD
Author : Aristogenis Lazos
language : en
Publisher:
Release Date : 2018

A Closed Form Approach To Valuing Risk Neutral Moments From Option Prices written by Aristogenis Lazos and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.

This paper develops closed-form solutions for the finite integrals in the volatility, cubic and quartic contracts in Bakshi, Kapadia and Madan (2003) which avoid discretization errors and do not involve interpolation and extrapolation. It compares the accuracy of the closed-form approach with the popular interpolation-extrapolation approach in the literature. Our results show that the closed-form approach provides more accurate estimates for skewness. This holds across different option pricing models and parameterization which have been shown to be favourable for the interpolation-extrapolation approach. Finally, our results show that the closed-form approach always extracts expectations consistent with the term structure of the volatility smirk whereas the interpolation-extrapolation approach fails several times.

A General Formula For Option Prices In A Stochastic Volatility Model

DOWNLOAD
Author : Stephen Chin
language : en
Publisher:
Release Date : 2009

A General Formula For Option Prices In A Stochastic Volatility Model written by Stephen Chin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Options (Finance) categories.