IDEAS home Printed from https://ideas.repec.org/r/bla/mathfi/v13y2003i4p445-466.html
   My bibliography  Save this item

Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Jan Kallsen & Arnd Pauwels, 2011. "Variance-Optimal Hedging for Time-Changed Levy Processes," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(1), pages 1-28.
  2. Nikita Ratanov, 2007. "A jump telegraph model for option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 575-583.
  3. Borochin, Paul & Chang, Hao & Wu, Yangru, 2020. "The information content of the term structure of risk-neutral skewness," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 247-274.
  4. Masuda, H. & Yoshida, N., 2005. "Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model," Stochastic Processes and their Applications, Elsevier, vol. 115(7), pages 1167-1186, July.
  5. Creal, Drew D., 2008. "Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2863-2876, February.
  6. Neil Shephard & Torben G. Andersen, 2008. "Stochastic Volatility: Origins and Overview," Economics Series Working Papers 389, University of Oxford, Department of Economics.
  7. Hubalek, Friedrich & Sgarra, Carlo, 2009. "On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps," Stochastic Processes and their Applications, Elsevier, vol. 119(7), pages 2137-2157, July.
  8. Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2018. "Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 339-378, March.
  9. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford.
  10. Almut Veraart & Luitgard Veraart, 2012. "Stochastic volatility and stochastic leverage," Annals of Finance, Springer, vol. 8(2), pages 205-233, May.
  11. Laurent, Sébastien & Shi, Shuping, 2020. "Volatility estimation and jump detection for drift–diffusion processes," Journal of Econometrics, Elsevier, vol. 217(2), pages 259-290.
  12. Martin Keller-Ressel & Thomas Steiner, 2007. "Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor Models," Papers 0704.0567, arXiv.org, revised Nov 2007.
  13. Thorsten Rheinlander & Gallus Steiger, 2006. "The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models," Papers math/0610219, arXiv.org.
  14. Christina Erlwein & Rogemar Mamon, 2009. "An online estimation scheme for a Hull–White model with HMM-driven parameters," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(1), pages 87-107, March.
  15. Leonenko, N.N. & Petherick, S. & Sikorskii, A., 2012. "A normal inverse Gaussian model for a risky asset with dependence," Statistics & Probability Letters, Elsevier, vol. 82(1), pages 109-115.
  16. Friedrich Hubalek & Petra Posedel, 2008. "Asymptotic analysis for a simple explicit estimator in Barndorff-Nielsen and Shephard stochastic volatility models," Papers 0807.3479, arXiv.org.
  17. Takuji Arai, 2019. "Pricing And Hedging Of Vix Options For Barndorff-Nielsen And Shephard Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-26, December.
  18. Takuji Arai, 2021. "Approximate option pricing formula for Barndorff-Nielsen and Shephard model," Papers 2104.10877, arXiv.org.
  19. Alvaro Cartea & Sam Howison, 2004. "Option Pricing with Levy-Stable Processes," OFRC Working Papers Series 2004mf01, Oxford Financial Research Centre.
  20. Hélyette Geman & Dilip B. Madan & Marc Yor, 2007. "Probing Option Prices for Information," Methodology and Computing in Applied Probability, Springer, vol. 9(1), pages 115-131, March.
  21. S. Kuchuk-Iatsenko & Y. Mishura & Y. Munchak, 2016. "Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility," Papers 1608.00230, arXiv.org.
  22. Friedrich Hubalek & Martin Keller-Ressel & Carlo Sgarra, 2014. "Geometric Asian Option Pricing in General Affine Stochastic Volatility Models with Jumps," Papers 1407.2514, arXiv.org.
  23. Indranil Sengupta, 2016. "Generalized Bn–S Stochastic Volatility Model For Option Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-23, March.
  24. Finlay, Richard & Seneta, Eugene, 2012. "A Generalized Hyperbolic model for a risky asset with dependence," Statistics & Probability Letters, Elsevier, vol. 82(12), pages 2164-2169.
  25. Martino Bardi & Annalisa Cesaroni & Andrea Scotti, 2014. "Convergence in Multiscale Financial Models with Non-Gaussian Stochastic Volatility," Papers 1405.6514, arXiv.org.
  26. Friedrich Hubalek & Carlo Sgarra, 2008. "On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps," Papers 0807.1227, arXiv.org.
  27. Alvaro Cartea & Sam Howison, 2009. "Option pricing with Levy-Stable processes generated by Levy-Stable integrated variance," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 397-409.
  28. Ole E. Barndorff-Nielsen & Almut E. D. Veraart, 2009. "Stochastic volatility of volatility in continuous time," CREATES Research Papers 2009-25, Department of Economics and Business Economics, Aarhus University.
  29. Indranil SenGupta & William Nganje & Erik Hanson, 2021. "Refinements of Barndorff-Nielsen and Shephard Model: An Analysis of Crude Oil Price with Machine Learning," Annals of Data Science, Springer, vol. 8(1), pages 39-55, March.
  30. Martin Keller-Ressel & Antonis Papapantoleon & Josef Teichmann, 2009. "The affine LIBOR models," Papers 0904.0555, arXiv.org, revised Jul 2011.
  31. Robert Stelzer & Jovana Zaviv{s}in, 2014. "Derivative pricing under the possibility of long memory in the supOU stochastic volatility model," Papers 1404.1773, arXiv.org.
  32. Ernst Eberlein & Kathrin Glau & Antonis Papapantoleon, 2008. "Analysis of Fourier transform valuation formulas and applications," Papers 0809.3405, arXiv.org, revised Sep 2009.
  33. Ajay Khanna & Dilip Madan, 2004. "Understanding option prices," Quantitative Finance, Taylor & Francis Journals, vol. 4(1), pages 55-63.
  34. Semere Habtemicael & Musie Ghebremichael & Indranil SenGupta, 2019. "Volatility and Variance Swap Using Superposition of the Barndorff-Nielsen and Shephard type Lévy Processes," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 81(1), pages 75-92, June.
  35. Flavia Barsotti, 2012. "Optimal Capital Structure with Endogenous Default and Volatility Risk," Working Papers - Mathematical Economics 2012-02, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  36. Kostrova, Alisa & Britz, Wolfgang & Finger, Robert & Djanibekov, Utkur, 2016. "Real Options Approach And Stochastic Programming In Farm Level Analysis: The Case Of Short-Rotation Coppice Cultivation," 56th Annual Conference, Bonn, Germany, September 28-30, 2016 244864, German Association of Agricultural Economists (GEWISOLA).
  37. Griffin, J.E. & Steel, M.F.J., 2010. "Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2594-2608, November.
  38. Carl Lindberg, 2008. "The estimation of the Barndorff‐Nielsen and Shephard model from daily data based on measures of trading intensity," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 24(4), pages 277-289, July.
  39. Raknerud, Arvid & Skare, Øivind, 2012. "Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein–Uhlenbeck processes," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3260-3275.
  40. Szczepocki Piotr, 2020. "Application of iterated filtering to stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck process," Statistics in Transition New Series, Statistics Poland, vol. 21(2), pages 173-187, June.
  41. Hainaut, Donatien & Devolder, Pierre, 2008. "Mortality modelling with Lévy processes," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 409-418, February.
  42. Arai, Takuji & Imai, Yuto, 2024. "Monte Carlo simulation for Barndorff–Nielsen and Shephard model under change of measure," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 218(C), pages 223-234.
  43. Abel Rodriguez & Enrique ter Horst, 2008. "Measuring expectations in options markets: An application to the SP500 index," Papers 0901.0033, arXiv.org.
  44. Abel Rodr�guez & Enrique ter Horst, 2011. "Measuring expectations in options markets: an application to the S&P500 index," Quantitative Finance, Taylor & Francis Journals, vol. 11(9), pages 1393-1405, July.
  45. Dilip Madan, 2009. "A tale of two volatilities," Review of Derivatives Research, Springer, vol. 12(3), pages 213-230, October.
  46. Akira Yamazaki, 2016. "Generalized Barndorff-Nielsen And Shephard Model And Discretely Monitored Option Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-34, June.
  47. Peter Bank & Selim Gokay, 2013. "Superreplication when trading at market indifference prices," Papers 1310.3113, arXiv.org.
  48. Lancelot F. James, 2005. "Analysis of a Class of Likelihood Based Continuous Time Stochastic Volatility Models including Ornstein-Uhlenbeck Models in Financial Economics," Papers math/0503055, arXiv.org, revised Aug 2005.
  49. Neil Shephard & Ole E. Barndorff-Nielsen, 2008. "Modelling and measuring volatility," Economics Series Working Papers 2008--FE-31, University of Oxford, Department of Economics.
  50. Fred Espen Benth & Martin Groth & Rodwell Kufakunesu, 2007. "Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(4), pages 347-363.
  51. Habtemicael, Semere & SenGupta, Indranil, 2014. "Ornstein–Uhlenbeck processes for geophysical data analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 147-156.
  52. Takuji Arai, 2020. "Al\`os type decomposition formula for Barndorff-Nielsen and Shephard model," Papers 2005.07393, arXiv.org, revised Sep 2020.
  53. Robert Tompkins, 2006. "Why Smiles Exist in Foreign Exchange Options Markets: Isolating Components of the Risk Neutral Process," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 583-603.
  54. Semere Habtemicael & Indranil SenGupta, 2016. "Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(04), pages 1-35, December.
  55. Griffin, J.E. & Steel, M.F.J., 2006. "Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility," Journal of Econometrics, Elsevier, vol. 134(2), pages 605-644, October.
  56. Ying Jiao & Chunhua Ma & Simone Scotti & Chao Zhou, 2021. "The Alpha‐Heston stochastic volatility model," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 943-978, July.
  57. Takuji Arai & Yuto Imai, 2024. "Option pricing for Barndorff-Nielsen and Shephard model by supervised deep learning," Papers 2402.00445, arXiv.org.
  58. Semere Habtemicael & Indranil Sengupta, 2016. "Pricing Covariance Swaps For Barndorff–Nielsen And Shephard Process Driven Financial Markets," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(03), pages 1-32, September.
  59. Takuji Arai & Yuto Imai, 2023. "Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure," Papers 2306.05750, arXiv.org.
  60. Piotr Szczepocki, 2020. "Application of iterated filtering to stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck process," Statistics in Transition New Series, Polish Statistical Association, vol. 21(2), pages 173-187, June.
  61. Michael Schröder, 2015. "Discrete-Time Approximation of Functionals in Models of Ornstein–Uhlenbeck Type, with Applications to Finance," Methodology and Computing in Applied Probability, Springer, vol. 17(2), pages 285-313, June.
  62. Michael Roberts & Indranil SenGupta, 2020. "Sequential hypothesis testing in machine learning, and crude oil price jump size detection," Papers 2004.08889, arXiv.org, revised Dec 2020.
  63. Friedrich Hubalek & Petra Posedel, 2011. "Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 11(6), pages 917-932.
  64. Karl Friedrich Hofmann & Thorsten Schulz, 2016. "A General Ornstein–Uhlenbeck Stochastic Volatility Model With Lévy Jumps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-23, December.
  65. Cantia, Catalin & Tunaru, Radu, 2017. "A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 21-35.
  66. Ying Jiao & Chunhua Ma & Simone Scotti & Chao Zhou, 2018. "The Alpha-Heston Stochastic Volatility Model," Papers 1812.01914, arXiv.org.
  67. Gianluca Fusai & Ioannis Kyriakou, 2016. "General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options," Mathematics of Operations Research, INFORMS, vol. 41(2), pages 531-559, May.
  68. Nikita Ratanov, 2005. "Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts," Borradores de Investigación 3410, Universidad del Rosario.
  69. Viktor Bezborodov & Luca Persio & Yuliya Mishura, 2019. "Option Pricing with Fractional Stochastic Volatility and Discontinuous Payoff Function of Polynomial Growth," Methodology and Computing in Applied Probability, Springer, vol. 21(1), pages 331-366, March.
  70. Luo, Jiaowan & Liu, Kai, 2008. "Stability of infinite dimensional stochastic evolution equations with memory and Markovian jumps," Stochastic Processes and their Applications, Elsevier, vol. 118(5), pages 864-895, May.
  71. Shantanu Awasthi & Indranil SenGupta, 2020. "First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process," Papers 2006.07167, arXiv.org, revised Jan 2021.
  72. Takuji Arai, 2019. "Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models," Papers 1904.12260, arXiv.org.
  73. Nicholas Salmon & Indranil SenGupta, 2021. "Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging," Papers 2105.02325, arXiv.org.
  74. Shubham Ekapure & Nuruddin Jiruwala & Sohan Patnaik & Indranil SenGupta, 2021. "A data-science-driven short-term analysis of Amazon, Apple, Google, and Microsoft stocks," Papers 2107.14695, arXiv.org.
  75. Rheinlander, Thorsten & Steiger, Gallus, 2006. "The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models," LSE Research Online Documents on Economics 16351, London School of Economics and Political Science, LSE Library.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.