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  • 天元讲堂(12.26)Calibration of the Volatility Premium in a Stochastic Volatility Model
  • 浏览量:373 发布人:佚名 发布时间:2017-12-19 14:11:17
  • 报告人:

    杨旭 (Universidade Federal de Alagoas)

    时间:

    12月26日下午14:00-15:00

    地点:

    维格堂 113

    We calibrate the risk premium for the stochastic volatility model that was proposed by Stein and Stein in 1991. In this model, it is assumed that the asset prices follow a diusive process where the volatility is driven by an arithmetic Ornstein-Uhlenbeck process. The calibration of a linear risk premium was proposed by Velez in 2007. We generalize the method to the nonlinear case and show by means of numerical examples that we can get good adherence to quoted option prices.

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