scholarly journals Bayesian Analysis of Stochastic Volatility Models with Levy Jumps : Application to Risk Analysis

2009 ◽  
Vol 2009 (40) ◽  
pp. 1-45
Author(s):  
Pawel J. Szerszen ◽  
Keyword(s):  
Risk Analysis ◽  
Bayesian Analysis ◽  
Stochastic Volatility ◽  
Stochastic Volatility Models ◽  
Volatility Models ◽  
Lévy Jumps

LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS

2013 ◽  
Vol 16 (08) ◽  
pp. 1350050 ◽  
Author(s):  
STEFANO PAGLIARANI ◽  
ANDREA PASCUCCI
Keyword(s):  
Characteristic Function ◽  
Stochastic Volatility ◽  
Fourier Space ◽  
Stochastic Volatility Models ◽  
Fourier Methods ◽  
Analytical Approximations ◽  
Volatility Models ◽  
Approximation Formulas ◽  
Real Market ◽  
Lévy Jumps

We present new approximation formulas for local stochastic volatility models, possibly including Lévy jumps. Our main result is an expansion of the characteristic function, which is worked out in the Fourier space. Combined with standard Fourier methods, our result provides efficient and accurate formulas for the prices and the Greeks of plain vanilla options. We finally provide numerical results to illustrate the accuracy with real market data.

[Bayesian Analysis of Stochastic Volatility Models]: Reply

1994 ◽  
Vol 12 (4) ◽  
pp. 413 ◽  
Author(s):  
Eric Jacquier ◽  
Nicholas G. Polson ◽  
Peter E. Rossi
Keyword(s):  
Bayesian Analysis ◽  
Stochastic Volatility ◽  
Stochastic Volatility Models ◽  
Volatility Models
Sign in / Sign up

Export Citation Format

Share Document