Statistical Inference for Random-Variance Option Pricing

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Statistical Inference about the Variance of Fuzzy Random Variables

The variance of a fuzzy random variable plays an important role as a measure of central tendency. Some of the main contributions in this topic are consolidated and discussed in this paper. In case of the hypothesis testing problem, bootstrap techniques (Efron and Tibshirani, 1993) have empirically been shown to be efficient and powerful. Algorithms to apply these techniques in practice and some...

متن کامل

The Variance Gamma Process and Option Pricing

A three parameter stochastic process, termed the variance gamma process, that generalizes Brownian motion is developed as a model for the dynamics of log stock prices. The process is obtained by evaluating Brownian motion with drift at a random time given by a gamma process. The two additional parameters are the drift of the Brownian motion and the volatility of the time change. These additiona...

متن کامل

The COGARCH: A Review, with News on Option Pricing and Statistical Inference

Continuous time models have been elevated to great importance in the modelling of time series data, in response to the successful options pricing model of Black and Scholes (1973), among other things. In 2004, Klüppelberg, Lindner, and Maller introduced the “COGARCH” model as a continuous-time analogue to the enormously influential and successful discrete time GARCH stochastic volatility model ...

متن کامل

Option Pricing with Constant Elasticity of Variance (CEV) Model

Abstract In this work we propose an approximate numerical method for pricing of options for the constant elasticity of variance (CEV) diffusion model. We prove firstly the existence and uniqueness of the solution in weighted Sobolev space, and then we propose the finite element method and finite difference method to solve the considered problem. Therefore, we compare the obtained results by the...

متن کامل

A GARCH Option Model with Variance-Dependent Pricing Kernel∗

We develop a GARCH option model with a variance premium by combining the HestonNandi (2000) dynamic with a new pricing kernel. While the pricing kernel is monotonic in the stock return and in variance, its projection onto the stock return is nonmonotonic. A negative variance premium makes it appear U-shaped. We present new semi-parametric evidence to confirm this U-shaped relationship between t...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Journal of Business & Economic Statistics

سال: 2000

ISSN: 0735-0015,1537-2707

DOI: 10.1080/07350015.2000.10524876