Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type

By Elisa Nicolato, E. Venardos. 2003

297 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/53080b7c0fc3f89673d1bbce10d22d3219451913

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Citations in the corpus

A jump telegraph model for option pricing (2004, background): “Moreover, most of these approaches as well as stochastic volatility and Lévy models create market incompleteness and other difficulties (see e.g. Nualart and Schoutens (2001), Nicolato and Venardos (2003)).”
Some recent developments in stochastic volatility modelling (2002, methodology): “The set of viable prices of a call option when the underlying is of the form (3.1) is studied in Nicolato and Venardos (2001).”
Mortality modelling with Lévy processes (2008, methodology): “Such models were initially developed by Barndorff-Nielsen and Shepard (2001a, 2002b) and used to price options on stocks with stochastic volatility (Nicolato and Vernados 2003).”
THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF‐NIELSEN AND SHEPHARD IN COMMODITY MARKETS (2010, methodology): “To this end, we use the argument for theorem 2.2 in Nicolato and Venardos (2003), and introduce the σ -algebra Gt σ {σ 2(s), 0 ≤ s ≤ t} ∨ Ft.”
Realised power variation and stochastic volatility models (2003, background): “See also the recent work of Nicolato and Venardos (2001).”
Simulation Methods for Lévy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models (2006, methodology): “The CARMA approach provides a rich variety of processes that generalize the Lévy-driven OU case [a CARMA(1,0)] analyzed by Barndorff-Nielsen and Shephard (2001b) and also used by Nicolato and Venardos (2003) for options pricing.”
Stochastic Volatility for Lévy Processes (2003, unknown): “This work is closely related to work by Barndorff-Nielsen, Nicolato, and Shepard (2001) and Nicolato and Venardos (2001) in which such methods were developed to model the accumulated variance of a diffusion; we employ similar processes to time change a discontinuous Lévy process.”
Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models (2003, methodology): “Determining the expression for K h z s ðtÞjsð0Þf g in particular cases has been carried out in the context of option pricing based on OU volatility by Barndorff-Nielsen & Shephard (2001) and subsequently by Nicolato & Venardos (2001) and Tompkins & Hubalek (2000).”
Martingale-Valued Measures, Ornstein-Uhlenbeck Processes with Jumps and Operator Self-Decomposability in Hilbert Space (2006, methodology): “We remark that, in the finite dimensional case, Ornstein-Uhlenbeck processes driven by non-Gaussian L´ evy processes have recently been applied to the construction of self-similar processes via the Lamperti transform ([5]) and to models of stochastic volatility in the theory of option pricing [5], [”
Normal Modified Stable Processes (2001, methodology): “The relation of the results derived to the OU based modelling approach, discussed in BarndorffNielsen and Shephard (2001a), Barndorff-Nielsen and Shephard (2001b) and Barndorff-Nielsen and Shephard (2001c), is considered in Sections 7-9.”
Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model (2007, methodology): “In this case the log-moment generating function has been calculated by Nicolato and Venardos (2003) to be y hð Þ~hd c2{2h 1=2 : After rewriting the integrand to simplify the simulations we can implement it using Matlab’s predefined command for applying FFT.”
Exponential moments of affine processes (2011, methodology): “…not all exponential moments of the jump measures exist, ad-hoc arguments based on analyzing the singularities of the characteristic function can be used to find sufficient conditions for the validity of an affine transform formula; see Nicolato and Venardos (2003) for an example of this approach.”