27 search results - page 4 / 6 » An Empirical Model for Volatility of Returns and Option Pric... |
SAC
2002
ACM
13 years 6 months ago
2002
ACM
The theoretical price of a financial option is given by the expectation of its discounted expiry time payoff. The computation of this expectation depends on the density of the val...
HICSS
2002
IEEE
13 years 11 months ago
2002
IEEE
We propose a class of alternative stochastic volatility models for electricity prices using the quantile function modeling approach. Specifically, we fit marginal distributions ...
IOR
2006
13 years 6 months ago
2006
The stochastic differential equations for affine jump diffusion models do not yield exact solutions that can be directly simulated. Discretization methods can be used for simulati...
Lecture Notes
These notes cover several topics such as Predicting Asset Returns, Linear Factor Model, Linear Factor Models in SDF Form, Consumption-Based Asset Pricing, Riskneutral Distributions...
Lecture Notes
These notes cover several topics such as Review of Statistics, Least Squares and Maximum Likelihood Estimation, Index Models, Testing CAPM and Multifactor Models
Event Studies, Ti...