Log in

Relevant bibliographies by topics / Stochastic volatility Monte carlo simulation

Contents

Journal articles

Academic literature on the topic 'Stochastic volatility Monte carlo simulation'

Author: Grafiati

Published: 4 June 2021

Last updated: 1 February 2022

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the lists of relevant articles, books, theses, conference reports, and other scholarly sources on the topic 'Stochastic volatility Monte carlo simulation.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Journal articles on the topic "Stochastic volatility Monte carlo simulation"

1

VAN DER STOEP, ANTHONIE W., LECH A. GRZELAK, and CORNELIS W. OOSTERLEE. "THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION." International Journal of Theoretical and Applied Finance 17, no. 07 (2014): 1450045. http://dx.doi.org/10.1142/s0219024914500459.

Full text

Abstract:

In this paper we propose an efficient Monte Carlo scheme for simulating the stochastic volatility model of Heston (1993) enhanced by a nonparametric local volatility component. This hybrid model combines the main advantages of the Heston model and the local volatility model introduced by Dupire (1994) and Derman & Kani (1998). In particular, the additional local volatility component acts as a "compensator" that bridges the mismatch between the nonperfectly calibrated Heston model and the market quotes for European-type options. By means of numerical experiments we show that our scheme enab

APA, Harvard, Vancouver, ISO, and other styles

2

?imandl, Miroslav, and Tom�? Soukup. "Simulation Monte Carlo methods in extended stochastic volatility models." International Journal of Intelligent Systems in Accounting, Finance & Management 11, no. 2 (2002): 109–17. http://dx.doi.org/10.1002/isaf.215.

Full text

APA, Harvard, Vancouver, ISO, and other styles

3

Chalimatusadiah, Chalimatusadiah, Donny Citra Lesmana, and Retno Budiarti. "Penentuan Harga Opsi Dengan Volatilitas Stokastik Menggunakan Metode Monte Carlo." Jambura Journal of Mathematics 3, no. 1 (2021): 80–92. http://dx.doi.org/10.34312/jjom.v3i1.10137.

Full text

Abstract:

ABSTRAKHal yang utama dalam perdagangan opsi adalah penentuan harga jual opsi yang optimal. Namun pada kenyataan sebenarnya fluktuasi harga aset yang terjadi di pasar menandakan bahwa volatilitas dari harga aset tidaklah konstan, hal ini menyebabkan investor mengalami kesulitan dalam menentukan harga opsi yang optimal. Artikel ini membahas tentang penentuan harga opsi tipe Eropa yang optimal dengan volatilitas stokastik menggunakan metode Monte Carlo dan pengaruh harga saham awal, harga strike, dan waktu jatuh tempo terhadap harga opsi Eropa. Adapun model volatilitas stokastik yang digunakan d

APA, Harvard, Vancouver, ISO, and other styles

4

Alghalith, Moawia, Christos Floros, and Konstantinos Gkillas. "Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility." Risks 8, no. 2 (2020): 35. http://dx.doi.org/10.3390/risks8020035.

Full text

Abstract:

We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary over time. Our methods are exceedingly simple and far simpler than the existing ones. Using intraday prices for the Standard & Poor’s 500 equity index, the estimates revealed strong evidence that both volatility and the volatility of volatility are stochastic. We also proceeded in a Monte Carlo simulation analysis and found that the estimates were reasona

APA, Harvard, Vancouver, ISO, and other styles

5

Raggi, Davide, and Silvano Bordignon. "Comparing stochastic volatility models through Monte Carlo simulations." Computational Statistics & Data Analysis 50, no. 7 (2006): 1678–99. http://dx.doi.org/10.1016/j.csda.2005.02.004.

Full text

APA, Harvard, Vancouver, ISO, and other styles

6

Cathcart, Mark J., Hsiao Yen Lok, Alexander J. McNeil, and Steven Morrison. "CALCULATING VARIABLE ANNUITY LIABILITY “GREEKS” USING MONTE CARLO SIMULATION." ASTIN Bulletin 45, no. 2 (2015): 239–66. http://dx.doi.org/10.1017/asb.2014.31.

Full text

Abstract:

AbstractThe implementation of hedging strategies for variable annuity products requires the calculation of market risk sensitivities (or “Greeks”). The complex, path-dependent nature of these products means that these sensitivities are typically estimated by Monte Carlo methods. Standard market practice is to use a “bump and revalue” method in which sensitivities are approximated by finite differences. As well as requiring multiple valuations of the product, this approach is often unreliable for higher-order Greeks, such as gamma, and alternative pathwise (PW) and likelihood-ratio estimators s

APA, Harvard, Vancouver, ISO, and other styles

7

Fouque, Jean-Pierre, and Tracey Andrew Tullie. "Variance reduction for Monte Carlo simulation in a stochastic volatility environment." Quantitative Finance 2, no. 1 (2002): 24–30. http://dx.doi.org/10.1088/1469-7688/2/1/302.

Full text

APA, Harvard, Vancouver, ISO, and other styles

8

Albuquerque, Pedro Henrique Melo, Yaohao Peng, and Igor Ferreira Do Nascimento. "Stochastic volatility modelling in portfolio selection via sequential Monte Carlo simulation." International Journal of Portfolio Analysis and Management 2, no. 3 (2021): 249. http://dx.doi.org/10.1504/ijpam.2021.10038382.

Full text

APA, Harvard, Vancouver, ISO, and other styles

9

Nascimento, Igor Ferreira Do, Pedro Henrique Melo Albuquerque, and Yaohao Peng. "Stochastic volatility modelling in portfolio selection via sequential Monte Carlo simulation." International Journal of Portfolio Analysis and Management 2, no. 3 (2021): 249. http://dx.doi.org/10.1504/ijpam.2021.115633.

Full text

APA, Harvard, Vancouver, ISO, and other styles

10

Laurini, Márcio Poletti. "A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models." Journal of Time Series Econometrics 5, no. 2 (2013): 193–229. http://dx.doi.org/10.1515/jtse-2012-0025.

Full text

Abstract:

Abstract: In this article, we analyze a maximum likelihood estimator using Data Cloning for Stochastic Volatility models. This estimator is constructed using a hybrid methodology based on Integrated Nested Laplace Approximations to calculate analytically the auxiliary Bayesian estimators with great accuracy and computational efficiency, without requiring the use of simulation methods such as Markov Chain Monte Carlo. We analyze the performance of this estimator compared to methods based on Monte Carlo simulations (Simulated Maximum Likelihood, MCMC Maximum Likelihood) and approximate maximum l

APA, Harvard, Vancouver, ISO, and other styles

More sources

We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!