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CAM Stochastic Volatility Model for Option Pricing
|Title:||CAM Stochastic Volatility Model for Option Pricing.||
Huang, Wanwan, author
Ewald, Brian, author
Oekten, Giray, author
|Type of Resource:||text|
|Physical Form:||online resource|
|Extent:||1 online resource|
|Abstract/Description:||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.|
|Identifier:||FSU_libsubv1_wos_000376329800001 (IID), 10.1155/2016/5496945 (DOI)|
|Publication Note:||The publisher’s version of record is available at http://www.dx.doi.org/10.1155/2016/5496945|
|Is Part Of:||
Mathematical Problems in Engineering.
Huang, W., Ewald, B., & Oekten, G. (2016). CAM Stochastic Volatility Model for Option Pricing. Mathematical Problems In Engineering.