منابع مشابه
Stock price dynamics and option valuations under volatility feedback effect
According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price–dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect bymodeling the joint dynamics of stock price, dividends, and volatility in continuous time. Most importantly, our model pre...
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Volatility modeling and analysis are traditionally based on either historical price data or option data. Finance theory shows that option prices heavily depend on the underlying stocks’ prices, thus the two kinds of data are related. This paper explores the approach that combines both stock price data and option data to perform the statistical analysis of volatility. We investigate the Black-Sc...
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In the recent years, the distribution of possible future losses for portfolios, such as bonds or loans, exhibits strongly asymmetric behavior. In this paper, we have analyzed the effective portfolio risk management through a computational state space model by using particle filter through sequential estimation of volatility. The computational model comprises with Extended weight Moving Average ...
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This paper describes a maximum likelihood method for estimating the parameters of Heston’s model of stochastic volatility using data on an underlying market index and the prices of options written on that index. Parameters of the physical measure (associated with the index) and the parameters of the risk-neutral measure (associated with the options) are identified including the equity and volat...
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ژورنال
عنوان ژورنال: Mokslas - Lietuvos ateitis
سال: 2020
ISSN: 2029-2341,2029-2252
DOI: 10.3846/mla.2020.9139