Listagem Documentos indexados pela Scopus por Assunto "Processo estocástico"
Itens para a visualização no momento 1-3 of 3
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Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
2018A parsimonious generalization of the Heston model is proposed where the volatility-of-volatility is assumed to be stochastic. We follow the perturbation technique of Fouque et al [Multiscale Stochastic Volatility for Equity, ... -
The option value of government guarantees in infrastructure projects
2008The participation of private capital in public infrastructure investment projects has been sought by many governments who perceive this as a way to overcome budgetary constraints and foster economic growth. For some types ... -
Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models
2014We find necessary and sufficient conditions for the market symmetry property, introduced by Fajardo and Mordecki (Quant Finance 6(3):219–227, 2006), to hold in the Ornstein–Uhlenbeck stochastic volatility model, henceforth ...
