Exact pricing with stochastic volatilità and jumps (Articolo in rivista)

Type
Label
  • Exact pricing with stochastic volatilità and jumps (Articolo in rivista) (literal)
Anno
  • 2010-01-01T00:00:00+01:00 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#doi
  • 10.1142/S0219024910006042 (literal)
Alternative label
  • D'Ippoliti F.; Moretto E.; Pasquali S.; Trivellato B. (2010)
    Exact pricing with stochastic volatilità and jumps
    in International journal of theoretical and applied finance
    (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#autori
  • D'Ippoliti F.; Moretto E.; Pasquali S.; Trivellato B. (literal)
Pagina inizio
  • 901 (literal)
Pagina fine
  • 929 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroVolume
  • 13 (literal)
Rivista
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroFascicolo
  • 6 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#affiliazioni
  • D'Ippoliti F., Università \"G. D'Annunzio\" di Chieti-Pescara, Viale Pindaro 87, 65127 Pescara, Italy - Moretto E., Dipartimento di Economia, Università dell'Insubria, Via Monte Generoso 71, 21100 Varese, Italy - Pasquali S., CNR-IMATI, Via Bassini 15, 20133 Milano, Italy - Trivellato B., Dipartimento di Matematica, Politecnico di Torino, Corso Duca degli Abruzzi 24, 10129 Torino, Italy (literal)
Titolo
  • Exact pricing with stochastic volatilità and jumps (literal)
Abstract
  • A stochastic volatility jump-diffusion model for pricing derivatives with jumps in both spot return and volatility underlying dynamics is presented. This model admits, in the spirit of Heston, a closed-form solution for European-style options. The structure of the model is also suitable to explicitly obtain the fair delivery price for variance swaps. To evaluate derivatives whose value does not admit a closed-form expression, a methodology based on an \"exact algorithm\", in the sense that no discretization of equations is required, is developed and applied to barrier options. Goodness of pricing algorithm is tested using DJ Euro Stoxx 50 market data for European options. Finally, the algorithm is applied to compute prices and Greeks for barrier options and to determine the fair delivery prices for variance swaps. (literal)
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