Results 11  20
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417
1 A NonCensored Binomial Model for Mean Reverting Stochastic Processes
"... Binomial trees are widely used for both financial and real option pricing due to their ease of use, versatility and precision. However, the classic approach developed by Cox, Ross, and Rubinstein (1979) applies only to a Geometric Brownian Motion diffusion processes, limiting the modeling choices. N ..."
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Cited by 2 (1 self)
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. Nelson and Ramaswamy (1990) provided a general method to construct recombining binomial lattices which was used by Hahn and Dyer (2008) to develop a censored recombinant Mean Reverting model. These models, although more computationally complex in programming than the Cox et. al. (1979) binomial model
Financial Modeling in a Fast MeanReverting Stochastic Volatility Environment
, 1998
"... We present a derivative pricing and estimation methodology for a class of stochastic volatility models that exploits the observed "bursty" or persistent nature of stock price volatility. Empirical analysis of highfrequency S&P 500 index data confirms that volatility reverts slowly to ..."
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Cited by 16 (3 self)
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to its mean in comparison to the tickbytick uctuations 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 satis ed by derivative prices, utilizing
A fast meanreverting correction to heston’s stochastic volatility model
 SIAM Journal on Financial Mathematics
, 2011
"... Abstract. We propose a multiscale stochastic volatility model in which a fast meanreverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertubative expansion is then used to obtain an approximation for European option prices. The resulting pricing for ..."
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Cited by 7 (1 self)
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Abstract. We propose a multiscale stochastic volatility model in which a fast meanreverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertubative expansion is then used to obtain an approximation for European option prices. The resulting pricing
Smalltime asymptotics for fast meanreverting stochastic volatility models
, 2010
"... In this paper, we study stochastic volatility models in regimes where the maturity is small but large compared to the meanreversion time of the stochastic volatility factor. The problem falls in the class of averaging/homogenization problems for nonlinear HJB type equations where the “fast variable ..."
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Cited by 5 (0 self)
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volatilities. The results of this paper generalize the ones obtained in [11] (J. Feng, M. Forde and J.P. Fouque, Short maturity asymptotic for a fast mean reverting Heston stochastic volatility model, SIAM Journal on Financial Mathematics, Vol. 1, 2010) by a moment generating function computation
Modeling electricity spot prices using meanreverting multifractal processes
 Physica A: Statistical Mechanics and its Applications 392
, 2013
"... We discuss stochastic modeling of volatility persistence and anticorrelations in electricity spot prices, and for this purpose we present two meanreverting versions of the multifractal random walk (MRW). In the first model the anticorrelations are modeled in the same way as in an OrnsteinUhlenbe ..."
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Cited by 2 (0 self)
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We discuss stochastic modeling of volatility persistence and anticorrelations in electricity spot prices, and for this purpose we present two meanreverting versions of the multifractal random walk (MRW). In the first model the anticorrelations are modeled in the same way as in an Ornstein
Spectral decomposition of option prices in fast meanreverting stochastic volatility models
 SIAM Journal on Financial Mathematics
, 2011
"... ar ..."
Non MeanReverting Affine Processes for Stochastic Mortality.” Paper presented at
 the 15th International AFIR Colloquium
, 2005
"... In this paper we use doubly stochastic processes (or Cox processes) in order to model the random evolution of mortality of an individual. These processes have been widely used in the credit risk literature in modelling default arrival, and in this context have proved to be quite flexible, especiall ..."
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Cited by 18 (2 self)
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in the financial context, mean reverting processes are less suitable for describing the death intensity of individuals than non mean reverting processes. Among the latter, affine processes whose deterministic part increases exponentially seem to be appropriate. As for the stochastic part, negative jumps seem to do
Convergence of Monte Carlo Simulations involving the MeanReverting Square Root Process
, 2004
"... The meanreverting square root process is a stochastic differential equation (SDE) that has found considerable use as a model for volatility, interest rate, and other financial quantities. The equation has no general, explicit, solution, although its transition density can be characterized. For valu ..."
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The meanreverting square root process is a stochastic differential equation (SDE) that has found considerable use as a model for volatility, interest rate, and other financial quantities. The equation has no general, explicit, solution, although its transition density can be characterized
Financial LPPL Bubbles with MeanReverting Noise in the Frequency Domain
, 2010
"... The logperiodic power law (LPPL) is a model of asset prices during endogenous bubbles. A major open issue is to verify the presence of LPPL in price sequences and to estimate the LPPL parameters. Estimation is complicated by the fact that daily LPPL returns are typically orders of magnitude smaller ..."
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smaller than measured price returns, suggesting that noise obscures the underlying LPPL dynamics. However, if noise is meanreverting, it would quickly cancel out over subsequent measurements. In this paper, we attempt to reject meanreverting noise from price sequences by exploiting frequency
Results 11  20
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417