Download Derivatives Financial Markets Stochastic Volatility Pdf
Known as volatility derivatives, and apply some of the most popular models to these derivatives. Mainly focused around the variance and volatility swap, we include the standard Black-Scholes model, the Merton Jump Di usion model as well as Stochastic Volatility Models such as GARCH, Heston. PDF Download Derivatives in Financial Markets with Stochastic Volatility Read Full Ebook. Read Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time (Dynamic. 0:27 Popular Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives.
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Abstract: In this paper, we relax the power parameter of instantaneous variance anddevelop a new stochastic volatility plus jumps model that generalize the Hestonmodel and 3/2 model as special cases. This model has two distinctive features.First, we do not restrict the new parameter, letting the data speak as to itsdirection. The Generalized Methods of Moments suggests that the newly addedparameter is to create varying volatility fluctuation in different perioddiscovered in financial market. Moreover, upward and downward jumps areseparately modeled to accommodate the market data. Our model is novel andhighly tractable, which means that the quasi-closed-form solutions for futureand option prices can be effectively derived. We have employed data on VIXfuture and corresponding option contracts to test this model to evaluate itsability of performing pricing and capturing features of the implied volatility.To sum up, the free stochastic volatility model with asymmetric jumps is ableto adequately capture implied volatility dynamics and thus it can be seen as asuperior model relative to the fixed volatility model in pricing VIXderivatives.
Submission history
From: Wei Lin [view email][v1]Fri, 17 Mar 2017 14:11:28 UTC (342 KB)
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