CAM Stochastic Volatility Model for Option Pricing
Joint Authors
Huang, Wanwan
Ewald, Brian
Ökten, Giray
Source
Mathematical Problems in Engineering
Issue
Vol. 2016, Issue 2016 (31 Dec. 2016), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2016-05-08
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
The coupled additive and multiplicative (CAM) noises model is a stochastic volatility model for derivative pricing.
Unlike the other stochastic volatility models in the literature, the CAM model uses two Brownian motions, one multiplicative and one additive, to model the volatility process.
We provide empirical evidence that suggests a nontrivial relationship between the kurtosis and skewness of asset prices and that the CAM model is able to capture this relationship, whereas the traditional stochastic volatility models cannot.
We introduce a control variate method and Monte Carlo estimators for some of the sensitivities (Greeks) of the model.
We also derive an approximation for the characteristic function of the model.
American Psychological Association (APA)
Huang, Wanwan& Ewald, Brian& Ökten, Giray. 2016. CAM Stochastic Volatility Model for Option Pricing. Mathematical Problems in Engineering،Vol. 2016, no. 2016, pp.1-8.
https://search.emarefa.net/detail/BIM-1112331
Modern Language Association (MLA)
Huang, Wanwan…[et al.]. CAM Stochastic Volatility Model for Option Pricing. Mathematical Problems in Engineering No. 2016 (2016), pp.1-8.
https://search.emarefa.net/detail/BIM-1112331
American Medical Association (AMA)
Huang, Wanwan& Ewald, Brian& Ökten, Giray. CAM Stochastic Volatility Model for Option Pricing. Mathematical Problems in Engineering. 2016. Vol. 2016, no. 2016, pp.1-8.
https://search.emarefa.net/detail/BIM-1112331
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1112331