Stochastic volatility models are important tools for studying the behavior of many financial markets. For this reason a number of versions have been introd... RS Bordignon - 《Computational Statistics & Data Analysis》 被引量: 66发表: 2006年 A Review of Volatility and Option Pricing The literatu...
A stochastic model is developed to explain how the early unwinding propensity of market participants in financial futures markets can lead to a strong concentration of the trading volume on the nearby contract. In this model the position closing behavior of the market participants is captured by thr...
2021. Bayesian analysis of intraday stochastic volatility models of high-frequency stock returns with skew heavy-tailed Errors. Journal of Risk and Financial Management 14: 145. [Google Scholar] [CrossRef] Nzokem, Aubain H. 2023. Pricing European options under stochastic volatility models: Case ...
Pairs trading in cryptocurrency markets. IEEE Access 2020, 8, 172644–172651. [Google Scholar] [CrossRef] Colianni, S.; Rosales, S.; Signorotti, M. Algorithmic trading of cryptocurrency based on Twitter sentiment analysis. CS229 Proj. 2015, 1, 1–5. [Google Scholar] Fister, D.; Mun, ...
An oscillator in financial markets is a technical analysis tool that varies within a certain range over time, typically used to identify overbought and oversold conditions in an asset. Oscillators are usually displayed as graphs and can signal potential price reversals, helping traders make buy or ...
Marketability As Real Options: The Cross Sectional Variation of Overnight Returns in China Thus, the marketability-option-related variables could explain the negative overnight returns of illiquidity, short-term reversal, and momentum.Haorui Bai... H Bai - 《Capital Markets Asset Pricing & Valuation...
Bayesian analysisStock market crashesThis paper proposes and estimates a more general parametric stochastic variance model of equity index returns than has been previously considered using data from both underlying and options markets. I conclude that the square root stochastic variance model of Heston (...
Stochastic volatility (SV) models are widely used as the tools of financial volatility analyzing in the field of econometrics. A Bayesian analysis of the stochastic volatility model with leverage effect is discussed in this paper. The parameters of the model are estimated via software package BUGS ...
Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options Many commodity markets contain a strong seasonal component not only at the price level, but also in volatility. In this paper, the importance of seasonal b... JC Arismendi,J Back,M Prokopczuk,... - 《Journal of...
Stochastic calculus is the mathematics used for modeling financial options. It is used to model investor behavior and asset pricing. It has also found applications in fields such as control theory and mathematical biology. Observe that X(t) is a random variable, and we would like to obtain suc...