Tools
Sorted by:
Try your query at:
 |
 |
 |
 |
 |
 |
Results 1 - 10
of
383
Stochastic Skew in Currency Options ∗
"... We document the behavior of over-the-counter currency option prices across moneyness, maturity, and calendar time on two of the most actively traded currency pairs over the past eight years. We find that on any given date, the conditional risk-neutral distribution of currency returns can show strong ..."
Abstract
- Add to MetaCart
strong asymmetry. This asymmetry varies greatly over time and often switches signs. We develop and estimate a class of models that captures this stochastic skew behavior. Model estimation shows that our stochastic skew models significantly outperform traditional jump-diffusion stochastic volatility
Stochastic Skew in Currency Options
- Journal of Financial Economics
, 2007
"... ours. We welcome comments, including references to related papers we have inadvertently overlooked. ..."
Abstract
-
Cited by 64 (5 self)
- Add to MetaCart
ours. We welcome comments, including references to related papers we have inadvertently overlooked.
Affine Stochastic Skewness ∗
, 2007
"... Recent developments in asset return modeling have shown evidence for time-variation not only in conditional variance, but also especially in conditional skewness and leverage effects. We develop a discrete time affine multifactor latent variable model of asset returns which allows for both stochasti ..."
Abstract
- Add to MetaCart
stochastic volatility and stochastic skewness (SVS model). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows the distribution of current daily returns conditional on current volatility to be asymmetric. In our model, time
Stochastic Risk Premiums, Stochastic Skewness
- in Currency Options, and Stochastic Discount Factors in International Economies,”
, 2008
"... ..."
Stochastic Skew and Target Volatility Options. forthcoming
- Journal of Futures Markets
"... Abstract Target volatility options (TVO) are a new class of derivatives whose payoff depends on some measure of volatility. These options allow investors to take a joint exposure to the evolution of the underlying asset, as well as to its realized volatility. In equity options markets the slope of ..."
Abstract
-
Cited by 1 (0 self)
- Add to MetaCart
of the underlying asset and its realized variance, the consideration of stochastic skew is a relevant question for the valuation of TVO. In this sense, this article studies the effect of considering a multifactor stochastic volatility specification in the valuation of the TVO as well as forward-start TVO.
A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Review of Financial Studies
, 1993
"... I use a new technique to derive a closed-form solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spotasset returns. I introduce stochastic interest rates and show how to apply the model to bond option ..."
Abstract
-
Cited by 1512 (6 self)
- Add to MetaCart
I use a new technique to derive a closed-form solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spotasset returns. I introduce stochastic interest rates and show how to apply the model to bond
Income and Wealth Heterogeneity in the Macroeconomy,
- Journal of Political Economy
, 1998
"... How do movements in the distribution of income and wealth affect the macroeconomy? We analyze this question using a calibrated version of the stochastic growth model with partially uninsurable idiosyncratic risk and movements in aggregate productivity. Our main finding is that, in the stationary st ..."
Abstract
-
Cited by 678 (11 self)
- Add to MetaCart
How do movements in the distribution of income and wealth affect the macroeconomy? We analyze this question using a calibrated version of the stochastic growth model with partially uninsurable idiosyncratic risk and movements in aggregate productivity. Our main finding is that, in the stationary
Loopy belief propagation for approximate inference: An empirical study. In:
- Proceedings of Uncertainty in AI,
, 1999
"... Abstract Recently, researchers have demonstrated that "loopy belief propagation" -the use of Pearl's polytree algorithm in a Bayesian network with loops -can perform well in the context of error-correcting codes. The most dramatic instance of this is the near Shannon-limit performanc ..."
Abstract
-
Cited by 676 (15 self)
- Add to MetaCart
the true marginal at each leaf is approximately (0.1, 0.9), i.e., the leaf is 1 with high probability. We then generated untypical evidence at the leaves by sampling from the uniform distribution, (0.5, 0.5), or from the skewed distribu tion (0.9, 0. 1). We found that loopy propagation still converged2
The Variance Gamma Process and Option Pricing.
- European Finance Review
, 1998
"... : A three parameter stochastic process, termed the variance gamma process, that generalizes Brownian motion is developed as a model for the dynamics of log stock prices. The process is obtained by evaluating Brownian motion with drift at a random time given by a gamma process. The two additional par ..."
Abstract
-
Cited by 365 (34 self)
- Add to MetaCart
: A three parameter stochastic process, termed the variance gamma process, that generalizes Brownian motion is developed as a model for the dynamics of log stock prices. The process is obtained by evaluating Brownian motion with drift at a random time given by a gamma process. The two additional
Results 1 - 10
of
383
