19 search results - page 1 / 4 » Nonparametric estimation for a stochastic volatility model |
FS
2010
13 years 3 months ago
2010
Abstract Consider discrete time observations (X δ)1≤ ≤n+1 of the process X satisfying dXt = √ VtdBt, with Vt a one-dimensional positive diffusion process independent of the...
CSDA
2010
13 years 4 months ago
2010
The Gaussian kernel density estimator is known to have substantial problems for bounded random variables with high density at the boundaries. For i.i.d. data several solutions hav...
ANOR
2010
13 years 5 months ago
2010
Abstract The problem of portfolio risk estimation in volatile markets requires employing fat-tailed models for financial instrument returns combined with copula functions to captur...
CSDA
2008
13 years 4 months ago
2008
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...