On Quantile Estimator in Volatility Model with Non-negative Error Density and Bayesian Perspective

Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part B - Advances in Econometrics ◽

10.1108/s0731-90532019000040b010 ◽

2019 ◽

pp. 193-210

Author(s):

Debajit Dutta ◽

Subhra Sankar Dhar ◽

Amit Mitra

Keyword(s):

Negative Error ◽

Volatility Model ◽

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FUZZY UNCERTAINTY IN THE HESTON STOCHASTIC VOLATILITY MODEL

FUZZY ECONOMIC REVIEW ◽

10.25102/fer.2011.02.01 ◽

2011 ◽

Vol 16 (02) ◽

Author(s):

G. Figà-Talamanca ◽

M. L. Guerra ◽

L. Stefanini

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Fuzzy Uncertainty ◽

Volatility Model

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A Study of False-Positive and False-Negative Error Rates in Cartridge Case Comparisons

10.21236/ada611807 ◽

2014 ◽

Author(s):

David P. Baldwin ◽

Stanley J. Bajic ◽

Max Morris ◽

Daniel Zamzow

Keyword(s):

False Positive ◽

False Negative ◽

Error Rates ◽

Negative Error ◽

False Negative Error ◽

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A nonparametric local volatility model for swaptions smile

The Journal of Computational Finance ◽

10.21314/jcf.2018.343 ◽

2017 ◽

Author(s):

Dariusz Gatarek ◽

Juliusz Jablecki

Keyword(s):

Local Volatility ◽

Local Volatility Model ◽

Volatility Model

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Introducing two mixing fractions to a lognormal local-stochastic volatility model

The Journal of Computational Finance ◽

10.21314/jcf.2020.389 ◽

2020 ◽

Author(s):

Bowie Owens ◽

Zili Zhu ◽

Geoffrey Lee

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model

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A non-Gaussian stochastic volatility model

The Journal of Computational Finance ◽

10.21314/jcf.1998.023 ◽

1998 ◽

Vol 2 (2) ◽

pp. 33-47 ◽

Author(s):

Yuichi Nagahara ◽

Genshiro Kitagawa

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model ◽

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Simple and efficient simulation of the Heston stochastic volatility model

The Journal of Computational Finance ◽

10.21314/jcf.2008.189 ◽

2008 ◽

Vol 11 (3) ◽

pp. 1-42 ◽

Author(s):

Leif Andersen

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Efficient Simulation ◽

Volatility Model

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Macroeconomic Uncertainty and Asset Prices: A Stochastic Volatility Model

SSRN Electronic Journal ◽

10.2139/ssrn.1360241 ◽

2009 ◽

Author(s):

Hwagyun Kim ◽

Hyoung Il Lee ◽

Joon Y. Park ◽

Hyosung Yeo

Keyword(s):

Stochastic Volatility ◽

Asset Prices ◽

Stochastic Volatility Model ◽

Macroeconomic Uncertainty ◽

Volatility Model

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Forecasting Future Volatility from Option Prices under the Stochastic Volatility Model

SSRN Electronic Journal ◽

10.2139/ssrn.1416638 ◽

2009 ◽

Author(s):

Suk-Joon Byun ◽

Sol Kim ◽

Dongwoo Rhee

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Option Prices ◽

Volatility Model

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Multiple Calculating Periods Generalized Volatility Model

SSRN Electronic Journal ◽

10.2139/ssrn.1797642 ◽

2011 ◽

Author(s):

Lu Lucius Li

Keyword(s):

Volatility Model

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Calibrating and Pricing with Stochastic-Local Volatility Model

SSRN Electronic Journal ◽

10.2139/ssrn.2182411 ◽

2012 ◽

Author(s):

Yu Tian ◽

Zili Zhu ◽

Fima Klebaner ◽

Kais Hamza

Keyword(s):

Local Volatility ◽

Local Volatility Model ◽

Volatility Model ◽

Stochastic Local Volatility

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