http://www.cnr.it/ontology/cnr/individuo/prodotto/ID64925
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
- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#autori
- D'Ippoliti F.; Moretto E.; Pasquali S.; Trivellato B. (literal)
- Pagina inizio
- Pagina fine
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- Rivista
- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroFascicolo
- 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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