Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Title "Option pricing under multiscale stochastic volatility"

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    • Dois ensaios em finanças 

      Tessari, Cristina
      2016-03-22
      We use Brazilian data to compute monthly idiosyncratic moments (expected skewness, realized skewness, and realized volatility) for equity returns and assess whether they are informative for the cross-section of future stock ...

    • Option pricing under multiscale stochastic volatility 

      Tessari, Cristina; Almeida, Caio Ibsen Rodrigues de
      2015
      The stochastic volatility model proposed by Fouque, Papanicolaou, and Sircar (2000) explores a fast and a slow time-scale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility ...