176 research outputs found
A Note on Option Pricing with the Use of Discrete-Time Stochastic Volatility Processes
Get PDFIn this paper we show that in the lognormal discrete-time stochastic volatility model with predictable conditional expected returns, the conditional expected value of the discounted payoff of a European call option is infinite. Our empirical illustration shows that the characteristics of the predictive distributions of the discounted payoffs, obtained using Monte Carlo methods, do not indicate directly that the expected discounted payoffs are infinite.option pricing, SV model, Bayesian forecasting
Bayesian Analysis for Hybrid MSF-SBEKK Models of Multivariate Volatility
Get PDFThe aim of this paper is to examine the empirical usefulness of two new MSF - Scalar BEKK(1,1) models of n-variate volatility. These models formally belong to the MSV class, but in fact are some hybrids of the simplest MGARCH and MSV specifications. Such hybrid structures have been proposed as feasible (yet non-trivial) tools for analyzing highly dimensional financial data (large n). This research shows Bayesian model comparison for two data sets with n = 2, since in bivariate cases we can obtain Bayes factors against many (even unparsimonious) MGARCH and MSV specifications. Also, for bivariate data, approximate posterior results (based on preliminary estimates of nuisance matrix parameters) are compared to the exact ones in both MSF-SBEKK models. Finally, approximate results are obtained for a large set of returns on equities (n = 34).Bayesian econometrics, Gibbs sampling, time-varying volatility, multivariate GARCH processes, multivariate SV processes
Bayesian Forecasting of the Discounted Payoff of Options on WIG20 Index under Stochastic Volatility and Stochastic Interest Rates
Get PDF
Übersicht aller schriftlich nachweisbaren Altäre im Basler Münster und in seinen Nebenbauten
No full text- …
