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CAM Stochastic Volatility Model for Option Pricing

Title: CAM Stochastic Volatility Model for Option Pricing.
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Name(s): Huang, Wanwan, author
Ewald, Brian, author
Oekten, Giray, author
Type of Resource: text
Genre: Text
Date Issued: 2016
Physical Form: computer
online resource
Extent: 1 online resource
Language(s): English
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
Persistent Link to This Record: http://purl.flvc.org/fsu/fd/FSU_libsubv1_wos_000376329800001
Owner Institution: FSU
Is Part Of: Mathematical Problems in Engineering.
1024-123X

Choose the citation style.
Huang, W., Ewald, B., & Oekten, G. (2016). CAM Stochastic Volatility Model for Option Pricing. Mathematical Problems In Engineering. Retrieved from http://purl.flvc.org/fsu/fd/FSU_libsubv1_wos_000376329800001