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417
Options on Multiple Assets in a MeanReverting Model
"... Abstract. We solve two optimal stopping problems whose payoff functions are the maximum and the minimum of two state variables driven by the OrnsteinUhlenbeck processes. We consider a class of problems where we obtain analytical solutions. Furthermore, by making use of the analytical results we stu ..."
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Abstract. We solve two optimal stopping problems whose payoff functions are the maximum and the minimum of two state variables driven by the OrnsteinUhlenbeck processes. We consider a class of problems where we obtain analytical solutions. Furthermore, by making use of the analytical results we study some properties of exercise regions including convexity, symmetry, and continuity.
PRICING OF SWING OPTIONS IN A MEAN REVERTING MODEL WITH JUMPS MATS KJAER
"... Abstract. We investigate the pricing of swing options in a model where the logarithm of the spot price is the sum of a deterministic seasonal trend and an OrnsteinUhlenbeck process driven by a jump diffusion. First we calibrate the model to Nord Pool electricity market data. Second, the existence o ..."
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Abstract. We investigate the pricing of swing options in a model where the logarithm of the spot price is the sum of a deterministic seasonal trend and an OrnsteinUhlenbeck process driven by a jump diffusion. First we calibrate the model to Nord Pool electricity market data. Second, the existence
Fast NinomiyaVictoir calibration of the doublemeanreverting model. 2013. Available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2210420
 24 T. Bollerslev and
, 2011
"... We consider the three factor double mean reverting (DMR) model of Gatheral (2008), a model which can be successfully calibrated to both VIX options and SPX options simultaneously. One drawback of this model is that calibration may be slow because no closed form solution for European options exists. ..."
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Cited by 2 (1 self)
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We consider the three factor double mean reverting (DMR) model of Gatheral (2008), a model which can be successfully calibrated to both VIX options and SPX options simultaneously. One drawback of this model is that calibration may be slow because no closed form solution for European options exists
AN OPTIMAL TRADING RULE OF A MEANREVERTING ASSET
"... Abstract. This work provides an optimal trading rule that allows buying, selling and short selling of an asset when its price is governed by meanreverting model. The goal is to find the buy and sell prices such that the overall return (with slippage cost imposed) is maximized. The associated HJB eq ..."
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Cited by 1 (0 self)
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Abstract. This work provides an optimal trading rule that allows buying, selling and short selling of an asset when its price is governed by meanreverting model. The goal is to find the buy and sell prices such that the overall return (with slippage cost imposed) is maximized. The associated HJB
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
 REVIEW OF FINANCIAL STUDIES
, 1988
"... In this article we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (19621985) and for all subperiod for a variety of aggrega ..."
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Cited by 517 (17 self)
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not support a meanreverting model of asset prices.
MeanReverting Stochastic Volatility
, 2000
"... We present derivative pricing and estimation tools for a class of stochastic volatility models that exploit the observed "bursty" or persistent nature of stock price volatility. An empirical analysis of highfrequency S&P 500 index data confirms that volatility reverts slowly to its me ..."
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Cited by 40 (10 self)
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mean in comparison to the tickbytick fluctuations of the index value, but it is fast meanreverting when looked at over the time scale of a derivative contract (many months). This motivates an asymptotic analysis of the partial differential equation satisfied by derivative prices, utilizing
On the Intertemporal Behavior of the ShortTerm Rate of Interest
"... This paper examines the intertemporal behavior of the shortterm rate of interest in a meanreverting model (Vasicek's elastic random walk model). Using the GoldfeldQuandt switching regressions technique, we show that the meanreverting model switched regimes three times over the sample period ..."
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This paper examines the intertemporal behavior of the shortterm rate of interest in a meanreverting model (Vasicek's elastic random walk model). Using the GoldfeldQuandt switching regressions technique, we show that the meanreverting model switched regimes three times over the sample
A Generalized MeanReverting Equation and Applications
 ESAIM:PS
"... Abstract. Consider a meanreverting equation, generalized in the sense it is driven by a 1dimensional centered Gaussian process with Hölder continuous paths on [0, T] (T> 0). Taking that equation in rough paths sense only gives local existence of the solution because the nonexplosion condition ..."
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Cited by 3 (3 self)
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). The regularity of the Itô map ensures a large deviation principle, and the existence of a density with respect to Lebesgue’s measure, for the solution of that generalized meanreverting equation. Finally, we study a generalized meanreverting pharmacokinetic model. Contents
A MeanReverting SDE on Correlation Matrices
, 2012
"... We introduce a meanreverting SDE whose solution is naturally defined on the space of correlation matrices. This SDE can be seen as an extension of the wellknown WrightFisher diffusion. We provide conditions that ensure weak and strong uniqueness of the SDE, and describe its ergodic limit. We also ..."
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We introduce a meanreverting SDE whose solution is naturally defined on the space of correlation matrices. This SDE can be seen as an extension of the wellknown WrightFisher diffusion. We provide conditions that ensure weak and strong uniqueness of the SDE, and describe its ergodic limit. We
Continuous time Ehrenfest process in term structure modelling
, 2010
"... In this paper, a finitestate meanreverting model for the shortrate, based on the continuous time Ehrenfest process, will be examined. Two explicit pricing formulae for zerocoupon bonds will be derived in the general and the special symmetric cases. Its limiting relationship to the Vasicek model ..."
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In this paper, a finitestate meanreverting model for the shortrate, based on the continuous time Ehrenfest process, will be examined. Two explicit pricing formulae for zerocoupon bonds will be derived in the general and the special symmetric cases. Its limiting relationship to the Vasicek model
Results 1  10
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417