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Safdari-Vaighani, Ali, Garshasebi, Pooya. (1402). Estimating the parameters of 3/2 stochastic volatility model with jump. سامانه مدیریت نشریات علمی, 3(1), 137-143. doi: 10.22054/jmmf.2023.75272.1101
Ali Safdari-Vaighani; Pooya Garshasebi. "Estimating the parameters of 3/2 stochastic volatility model with jump". سامانه مدیریت نشریات علمی, 3, 1, 1402, 137-143. doi: 10.22054/jmmf.2023.75272.1101
Safdari-Vaighani, Ali, Garshasebi, Pooya. (1402). 'Estimating the parameters of 3/2 stochastic volatility model with jump', سامانه مدیریت نشریات علمی, 3(1), pp. 137-143. doi: 10.22054/jmmf.2023.75272.1101
Safdari-Vaighani, Ali, Garshasebi, Pooya. Estimating the parameters of 3/2 stochastic volatility model with jump. سامانه مدیریت نشریات علمی, 1402; 3(1): 137-143. doi: 10.22054/jmmf.2023.75272.1101

Estimating the parameters of 3/2 stochastic volatility model with jump

Journal of Mathematics and Modeling in Finance
دوره 3، شماره 1، آذر 2023، صفحه 137-143    اصل مقاله (1.17 M)
نوع مقاله: Research Article
شناسه دیجیتال (DOI): 10.22054/jmmf.2023.75272.1101
نویسندگان
Ali Safdari-Vaighani* 1؛ Pooya Garshasebi2
1Department of mathematics, Allameh Tabataba’i University, Tehran, Iran
2Department of Mathematics, Allameh Tabataba'i University, Tehran, Iran.
چکیده
The financial markets reveal stylized facts that could not be captured by Black-Scholes partial differential equations (PDEs).  In this research, we investigate 3/2 stochastic volatility to pricing options which is more compatible with the interpretation of implied volatility. Numerical study and calibrations show that the 3/2 model incorporating jumps effectively encompasses key market characteristics attributed. However, it requires more estimating parameters in comparison to the pure diffusion model. Stochastic volatility models with jumps describe the log return features of the financial market although more parameters are involved in estimations.
کلیدواژه‌ها
Black-Scholes model؛ Stochastic volatility models؛ 3/2 model؛ 3/2 plus jump model
مراجع
[1] G. G. Drimus, Options on realized variance by transform methods: A non-affine stochastic
volatility model, Quantitative Finance., 11 (2009), 1679–1694.
[2] J. Baldeaux, A. Badran, Consistent modelling of VIX and equity derivatives using a 3/2 plus
jump model, Research Paper Series 306, Quantitative Finance Research Center, University
of Technology, Sydney, 2012.
[3] P. Carr, J. Sun A new approach for option pricing under stochastic volatility, Review of
Derivatives Research, 10 (2007), 87–150.
[4] R. Cont, P. Tankov, Financial modelling with jump processes, CRC Press LLC, London,
2004.
[5] S. G. Kou, J. Jump-diffusion models for asset pricing on financial engineering, Handbooks
in Operations Research and Management Science, 15 (2007), 73–116. 

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