On calibration of stochastic and fractional stochastic volatility models

DOI10.1016/j.ejor.2016.04.033zbMath1346.91238OpenAlexW2340031305MaRDI QIDQ323465

Milan Mrázek, Jan Pospíšil, Tomáš Sobotka

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2016.04.033

zbMATH Keywords

optimizationoption pricingcalibrationHeston modelfractional stochastic volatility model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60) Fractional partial differential equations (35R11)

Related Items (12)

FINITE DIFFERENCE METHOD FOR THE TWO-DIMENSIONAL BLACK-SCHOLES EQUATION WITH A HYBRID BOUNDARY CONDITION ⋮ Calibration and simulation of Heston model ⋮ Pricing of FX options in the MPT/CIR jump-diffusion model with approximative fractional stochastic volatility ⋮ Robustness and sensitivity analyses of rough Volterra stochastic volatility models ⋮ Strategic trading with information acquisition and long-memory stochastic liquidity ⋮ Impact of rough stochastic volatility models on long-term life insurance pricing ⋮ Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory ⋮ Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump? ⋮ DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS ⋮ A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps ⋮ DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS ⋮ Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models

Uses Software

• Mathematica

Cites Work

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