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A General Formula for Option Prices in s Stochastic Volatility Model
considers the pricing of European derivatives in a Black-Scholes model with stochastic volatility. The presentation ... cases. The main ingredient in this presentation's method is the Laplace transform of the ordinary ...Description: This presentation considers the pricing of European derivatives in a Black-Scholes model with stochastic volatility. The presentation shows how Parseval’s theorem may be used to express those prices as Fourier integrals. This is a significant improvement over Monte Carlo simulation in many cases. The main ingredient in this presentation's method is the Laplace transform of the ordinary [constant volatility] price of a put or call in the Black-Scholes model, where the transform is taken with respect to maturity [T]. The presentation derives these formulas and then applies them to the case where volatility is modelled as a Markov chain in continuous time, the so-called 'Markov regime switching model'. This model has been used previously in stochastic volatility modelling, but mostly with only N=2 states. The presentation shows how to use N=3 states without difficulty, and how larger number of states can be handled. Numerical illustrations are given, including the volatility smile in a three-state model.
Hide- Authors: Daniel Dufresne, Stephen Chin
- Date: Jul 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Combinatorics for Moments of a Randomly Stopped Quadratic Variation Process
Combinatorics for Moments of a Randomly Stopped Quadratic Variation Process This paper proposes a combinatoric ... higher moments of the quadratic variation process in terms of higher order variations of the original process ...Description: This paper proposes a combinatoric approach to express higher moments of the quadratic variation process in terms of higher order variations of the original process and autocorrelations of the original process.
Hide- Authors: James Bridgeman
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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Table of Contents - 1996 Valuation Actuary Symposium
Table of Contents - 1996 Valuation Actuary Symposium 1996 Valuation Actuary Symposium Proceedings - ... - Table of Contents N/A; 18248 1/1/1996 12:00:00 AM ...Description: 1996 Valuation Actuary Symposium Proceedings - Table of Contents
Hide- Authors: Application Administrator
- Date: Jan 1996
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Financial Reporting & Accounting