Unifikovaná oceňovací formule pro několik modelů stochastické volatility se skoky
| dc.contributor.author | Baustian, Falko | |
| dc.contributor.author | Mrázek, Milan | |
| dc.contributor.author | Pospíšil, Jan | |
| dc.contributor.author | Sobotka, Tomáš | |
| dc.date.accessioned | 2018-02-21T11:35:16Z | |
| dc.date.available | 2018-02-21T11:35:16Z | |
| dc.date.issued | 2017 | |
| dc.description.abstract-translated | In this paper, we introduce a unifying approach to option pricing under continuous-time stochastic volatility models with jumps. For European style options, a new semi-closed pricing formula is derived using the generalized complex Fourier transform of the corresponding partial integro-differential equation. This approach is successfully applied to models with different volatility diffusion and jump processes. We also discuss how to price options with different payoff functions in a similar way. In particular, we focus on a log-normal and a log-uniform jump diffusion stochastic volatility model, originally introduced by Bates and Yani and Hanson respectively. The comparison of existing and newly proposed option pricing formulas with respect to time-efficiency and precision is discussed. We also derive a representation of an option price under a new approximative fractional jump diffusion model that differs from the aforementioned models, especially for the out-of-the money contracts. | en |
| dc.format | 21 s. | cs |
| dc.format.mimetype | application/pdf | |
| dc.identifier.citation | BAUSTIAN, F., MRÁZEK, M., POSPÍŠIL, J., SOBOTKA, T. Unifying pricing formula for several stochastic volatility models with jumps. Applied Stochastic Models in Business and Industry, 2017, roč. 33, č. 4, s. 422-442. ISSN 1526-4025. | en |
| dc.identifier.doi | 10.1002/asmb.2248 | |
| dc.identifier.issn | 1526-4025 | |
| dc.identifier.obd | 43916418 | |
| dc.identifier.uri | http://hdl.handle.net/11025/29174 | |
| dc.language.iso | en | en |
| dc.project.ID | SGS-2016-003/Kvalitativní a kvantitativní studium matematických modelů III. | cs |
| dc.project.ID | GA14-11559S/Analýza frakcionálních modelů stochastické volatility a jejich implementace v gridu | cs |
| dc.publisher | Wiley | en |
| dc.relation.ispartofseries | Applied Stochastic Models in Business and Industry | en |
| dc.rights | Plný text není přístupný. | cs |
| dc.rights | © Wiley | en |
| dc.rights.access | closedAccess | en |
| dc.subject | Modely stochastické volatility | cs |
| dc.subject | oceňování opcí | cs |
| dc.subject | fundamentální transformace | cs |
| dc.subject | PIDR | cs |
| dc.subject | frakcionální volatilita | cs |
| dc.subject.translated | Stochastic volatility models | en |
| dc.subject.translated | option pricing | en |
| dc.subject.translated | fundamental transform | en |
| dc.subject.translated | PIDE | en |
| dc.subject.translated | fractional volatility | en |
| dc.title | Unifikovaná oceňovací formule pro několik modelů stochastické volatility se skoky | cs |
| dc.title | Unifying pricing formula for several stochastic volatility models with jumps | en |
| dc.type | postprint | cs |
| dc.type | postprint | en |
| dc.type.status | Peer-reviewed | en |
| dc.type.version | acceptedVersion | en |