Stochastic volatility

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  • Black-Scholes Pricing Theory Analysis

    strong assumption of constant volatility cannot express high peak and flat tail character of derivatives, and the relative between the spot return and the variance. Therefore, there are several theories try to extend and modify the original Black-Scholes’ model. The Heston stochastic volatility model is the most popular extension to the Black-Scholes’ model(Tse & Wan 2013). The first scheme widely accepted is Euler-Maruyama Scheme. This scheme is efficient, easy to implement, and almost can be used…

    Words: 875 - Pages: 4
  • Examples Of Ambiguity In Literature

    those of ambiguous statements. Ambiguity enables the reader to interpret a variety of phrases into what they believe and want it to be. It gives the audience freedom, which is desired in literature to escape reality. To give clarity to a reader limits an individual’s imagination, therefore disabling freedom and ultimately making the literature undesirable to read. Franz Kafka’s The Metamorphosis leaves every reader with various ambiguous meanings. However, Kafka meant to do this under the…

    Words: 822 - Pages: 4
  • Advertisement Analysis: Butch Pet Food Company

    Butch pet food company was established in 1964 and has existed since then in New Zealand. An ad by the company read as such “I’m as guilty as the next girl for licking the odd bone but believe me there’s no substitute for being stuffed full of meat.“ The ad features those word in a pink meat roll with a half white half pink background and to the right a dog looking towards the reader. The pink and white coloring adds a touch of feminist to the ad with typically female related colors, which are…

    Words: 1091 - Pages: 5
  • Grice Court Cases

    By failing to condemn or even analyze the detectives’ actions, the Grice court paid little heed to the Supreme Court’s principle that “an officer’s leave to gather information is sharply circumscribed when he steps off [public] thoroughfares and enters the Fourth Amendment’s protected areas.” By ruling as it did, the Grice court handed down an overly-generous interpretation of a license’s scope, the implications of which are worrisome to the future of Fourth Amendment protected areas. The…

    Words: 1190 - Pages: 5
  • TVP-VAR Case Study

    In this study, a TVP-VAR model with stochastic volatility is used. Initially, the TVP-VAR model was introduced by Primiceri (2005) and Nakajima (2011) to examine the changes in the transmission of monetary policy and the changes in the variances of the exogenous shocks. This study is the first to examine the changes in the transmission of remittances shocks on inflation, savings and TFP in Saudi Arabia over the period 1970-2012. Following Nakajima (2011), we set up the TVP-VAR model with…

    Words: 1835 - Pages: 8
  • China Stock Market Essay

    The risk of China and the US stock market is different with the Standard & Poor 's index for the past 10 years has a volatility of about 1.25% a day; with fuses at 7% which is about five and a half times the standard deviation. This is not a normal distribution; the probability of occurrence in reality is much higher, about once every two years, which historically was 7 times over the past 14 years. In Comparison the daily volatility of China 's Shanghai and Shenzhen index of about 1.8%; A…

    Words: 706 - Pages: 3
  • Lucas's Perspective On Questions Of Substantive Economic Conspectives

    methodological contribution is to illustrate how one goes about constructing dynamic, stochastic general equilibrium models to shed light on questions of substantive economic interest. In order to test the proposition that where nominal aggregate demand shocks are highly volatile the effect of any particular nominal aggregate demand shock is less, Lucas got data on nominal and real output/ expenditure covering the years 1951-1967 for 18 countries. He then assumed that, for each country, the mean…

    Words: 1357 - Pages: 6
  • Dornbusch Overshooting Model Essay

    more effective approach. Dornbusch (1987) published a paper “Open Economy Macroeconomics: new direction”, which based on the concepts of Mundell-Flemming model (1964) and the Dornbusch overshooting model(1976), highlighting changes of exchange rates in three dimensions: pricing, waiting and expecting. The model could be more realistic by further consideration, such as including the entry and exit of the industry organization for analysing the effect of pricing. Moreover, considering more…

    Words: 1354 - Pages: 5
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