CAM stochastic volatility model for option pricing
type: Item
instance of: scholarly article
title: CAM stochastic volatility model for option pricing
zbMATH Open document ID: 1400.91595
DOI: 10.1155/2016/5496945
author: Wanwan Huang
author: Giray Ökten
author: Brian Ewald
published in: Mathematical Problems in Engineering
publication date: 2018-10-12T00:00:00Z
review text: Summary: The coupled additive and multiplicative (CAM) noises model is a stochastic volatility model for derivative pricing. Unlike the other stochastic volatility models in the literature, the CAM model uses two Brownian motions, one multiplicative and one additive, to model the volatility process. We provide empirical evidence that suggests a nontrivial relationship between the kurtosis and skewness of asset prices and that the CAM model is able to capture this relationship, whereas the traditional stochastic volatility models cannot. We introduce a control variate method and Monte Carlo estimators for some of the sensitivities (Greeks) of the model. We also derive an approximation for the characteristic function of the model.
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6953331
Wikidata QID: Q59131610
describes a project that uses: MersenneTwister
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2016/5496945
OpenAlex ID: W2346729281
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description: scientific article; zbMATH DE number 6953331