作者: SENT 時間: 2025-3-21 23:50
Advances in Intelligent and Soft Computingo provides a characterization of implied volatility models free of static arbitrage, and discusses certain symmetries hidden in stochastic asset price models. These symmetries can be used to analyze the asymptotic behavior of the implied volatility at small strikes knowing how the volatility behaves at large strikes.作者: GEN 時間: 2025-3-22 02:08
Volatility Processes,process, they are Gaussian, while for a CIR-process, they coincide with noncentral chi-square distributions. The chapter also includes the proof of the Pittman-Yor theorem. This theorem concerns certain exponential functionals of squared Bessel processes.作者: Conserve 時間: 2025-3-22 07:23
Asymptotic Analysis of Implied Volatility,o provides a characterization of implied volatility models free of static arbitrage, and discusses certain symmetries hidden in stochastic asset price models. These symmetries can be used to analyze the asymptotic behavior of the implied volatility at small strikes knowing how the volatility behaves at large strikes.作者: 大約冬季 時間: 2025-3-22 09:29 作者: 破裂 時間: 2025-3-22 13:04
Book 2012ility models, that have been developed as an answer to certain imperfections in a celebrated Black-Scholes model of option pricing. In a stock price model with stochastic volatility, the random behavior of the volatility is described by a stochastic process. For instance, in the Hull-White model the作者: 得罪人 時間: 2025-3-22 17:02
Distributed Computing - IWDC 2003 of the volatility, the variance, the integrated volatility, and the integrated variance. This chapter provides various representations of the stock price density in stochastic volatility models as special integral transforms of mixing distributions.作者: Prophylaxis 時間: 2025-3-22 21:30 作者: seruting 時間: 2025-3-23 03:48
Sigeru Omatu,Mitsuaki Yano,Toru Fujinakan the asymptotic formulas for the stock price densities established in Chap.?.. Weak Pareto type functions will reappear in Sect.?., devoted to the asymptotic equivalence in R. Lee’s moment formulas for the implied volatility.作者: 過剩 時間: 2025-3-23 09:26
Virtual Organisations Dissolution, of Chap.?10 include a result of E.?Renault and N.?Touzi concerning the existence of volatility smile in uncorrelated stochastic volatility models. The chapter also discusses the SVI parameterization of the implied variance introduced by J.?Gatheral.作者: 密碼 時間: 2025-3-23 12:28
Modeling Uncertainty in Banking Networks,totic behavior of the implied volatility in special models without moment explosions. The list of such models includes the displaced diffusion model, the constant elasticity of variance model, the finite moment log-stable model of P.?Carr and L.?Wu, and SV1 and SV2 models developed by L.C.G.?Rogers and L.A.M.?Veraart.作者: Visual-Acuity 時間: 2025-3-23 17:00 作者: 貪婪的人 時間: 2025-3-23 21:41 作者: lipids 時間: 2025-3-23 23:06 作者: GUISE 時間: 2025-3-24 03:23 作者: 增減字母法 時間: 2025-3-24 08:55
Implied Volatility in Models Without Moment Explosions,totic behavior of the implied volatility in special models without moment explosions. The list of such models includes the displaced diffusion model, the constant elasticity of variance model, the finite moment log-stable model of P.?Carr and L.?Wu, and SV1 and SV2 models developed by L.C.G.?Rogers and L.A.M.?Veraart.作者: garrulous 時間: 2025-3-24 12:43
Asymptotic Analysis of Mixing Distributions,ory of hypergeometric functions, and some methods from complex analysis. Dufresne’s recurrence formula, which allows one to navigate between the Hull-White models with different values of the model parameters, is also covered in Chap.?5.作者: GRAVE 時間: 2025-3-24 16:45
Asymptotic Analysis of Stock Price Distributions,els established in Chap.?.. Extensions of the asymptotic formulas for the stock price density to the case of the correlated Heston and Stein-Stein models are also presented. The asymptotic behavior of the stock price density in the correlated Hull-White model remains a mystery.作者: BYRE 時間: 2025-3-24 22:34
Asymptotic Analysis of Option Pricing Functions,k-Scholes model. This celebrated model is discussed in the present chapter and an analytical proof of the Black-Scholes formula is given. Moreover, sharp asymptotic formulas are obtained for call pricing functions in the Hull-White, Stein-Stein, and Heston models.作者: Dysplasia 時間: 2025-3-25 00:53 作者: Cupidity 時間: 2025-3-25 07:01
Getting the Service You Deserve,els established in Chap.?.. Extensions of the asymptotic formulas for the stock price density to the case of the correlated Heston and Stein-Stein models are also presented. The asymptotic behavior of the stock price density in the correlated Hull-White model remains a mystery.作者: calamity 時間: 2025-3-25 07:39
A Mixed Portfolio Selection Problem,k-Scholes model. This celebrated model is discussed in the present chapter and an analytical proof of the Black-Scholes formula is given. Moreover, sharp asymptotic formulas are obtained for call pricing functions in the Hull-White, Stein-Stein, and Heston models.作者: calorie 時間: 2025-3-25 12:54 作者: 財主 時間: 2025-3-25 16:22
1616-0533 at extreme strikes in general stochastic stock price models. .The present volume is addressed to researchers and graduate students working in the area of financial mathematics, analysis, or probability theory.978-3-642-43386-3978-3-642-31214-4Series ISSN 1616-0533 Series E-ISSN 2195-0687 作者: 結(jié)構(gòu) 時間: 2025-3-25 22:18 作者: Glossy 時間: 2025-3-26 04:10
Stock Price Models with Stochastic Volatility,e case of a non-zero correlation between the stock price and the volatility. The chapter presents results of C. Sin, concerning risk-neutral measures in the correlated Hull-White model. Sin’s results show that the existence of such measures is determined by the possibility of explosions in finite ti作者: 織布機(jī) 時間: 2025-3-26 04:19 作者: gnarled 時間: 2025-3-26 10:54 作者: superfluous 時間: 2025-3-26 16:30 作者: impale 時間: 2025-3-26 18:13
Realized Volatility and Mixing Distributions,mixing factor in such a representation is played by the distribution of a realized volatility (a time-average of the volatility process). For a correlated model, mixing distributions may be higher-dimensional. For example, in the correlated Heston model and the correlated Hull-White model with drift作者: 清楚 時間: 2025-3-26 22:18 作者: Ejaculate 時間: 2025-3-27 02:17
Asymptotic Analysis of Mixing Distributions,etric Brownian motions, Ornstein-Uhlenbeck processes, and CIR-processes. Sharp asymptotic formulas with relative error estimates are established for these densities, using various combinations of techniques and tools. The proofs employ a Tauberian theorem for the two-sided Laplace transform, the the作者: 改革運動 時間: 2025-3-27 06:16
Asymptotic Analysis of Stock Price Distributions, estimates for stock price densities in the uncorrelated Hull-White, Stein-Stein, and Heston models due to E.M.?Stein and the author are presented in this chapter. The proofs use the asymptotic formulas for mixing distributions and the Abelian theorem for the integral transforms with log-normal kern作者: Plaque 時間: 2025-3-27 09:56
Regularly Varying Functions and Pareto-Type Distributions,ies. Chapter?7 provides a short overview of the theory of regularly varying functions. In addition, the chapter discusses Pareto type distributions, which are distributions with regularly varying tails. A new notion of weak Pareto type functions is introduced and studied. A function is of a weak Par作者: exostosis 時間: 2025-3-27 14:04 作者: 擦試不掉 時間: 2025-3-27 21:11
Asymptotic Analysis of Implied Volatility,udied standard deviations of asset returns, which are implied in actual call option prices when investors price options according to the Black-Scholes model. Chapter?9 mainly is concerned with the asymptotics of the implied volatility at extreme strikes. It presents sharp model-free asymptotic formu作者: pellagra 時間: 2025-3-27 23:49 作者: 高射炮 時間: 2025-3-28 05:34 作者: 盤旋 時間: 2025-3-28 06:29
https://doi.org/10.1007/978-3-642-31214-491Gxx, 91G80, 91B25, 91G20; asymptotic formulas; implied volatilities; option pricing functions; stochas作者: hemoglobin 時間: 2025-3-28 10:39 作者: averse 時間: 2025-3-28 16:00
Distributed Computing - IWDC 2003ock. The family of volatility processes includes Brownian motion, geometric Brownian motion, Ornstein-Uhlenbeck processes, squared Bessel processes, and Cox-Ingersoll-Ross processes (CIR-processes). In the first chapter, means and variances of these processes are computed and marginal distributions 作者: amygdala 時間: 2025-3-28 21:38
TMS: A Scalable Transition Multicast Scheme. The volatility of the stock in such a model is described by a nonnegative stochastic process. For instance, in the Hull-White model, a geometric Brownian motion plays the role of stochastic volatility, in the Stein-Stein model, the volatility is represented by an Ornstein-Uhlenbeck process, or by 作者: 改變立場 時間: 2025-3-29 00:13 作者: yohimbine 時間: 2025-3-29 03:42 作者: BLA 時間: 2025-3-29 07:42
The Fall of the Byzantine Empire,etric Brownian motions, Ornstein-Uhlenbeck processes, and CIR-processes. Sharp asymptotic formulas with relative error estimates are established for these densities, using various combinations of techniques and tools. The proofs employ a Tauberian theorem for the two-sided Laplace transform, the the作者: 同位素 時間: 2025-3-29 13:58 作者: aquatic 時間: 2025-3-29 16:22
