27 search results - page 2 / 6 » An Empirical Model for Volatility of Returns and Option Pric... |
CORR
2007
Springer
13 years 4 months ago
2007
Springer
We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit...
WSC
2004
13 years 6 months ago
2004
This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...
WSC
2007
13 years 7 months ago
2007
We consider the problem of pricing American options when the volatility of the underlying asset price is stochastic. No specific stochastic volatility model is assumed for the st...
JCIT
2010
12 years 11 months ago
2010
This paper uses the data of Japan's and Korea's exchange rates to discuss the model construction and their associations between Japan's and Korea's terms excha...
FS
2010
13 years 3 months ago
2010
The aim of this paper is to investigate the properties of stochastic volatility models, and to discuss to what extent, and with regard to which models, properties of the classical...