Mathematical and Statistical Methods for Actuarial Sciences and Finance

124 A. D ́ıaz, F. Jare ̃no, and E. Navarro second or higher moments of the zero coupon rates. Nevertheless, in this paper we foc ...

Estimating the volatility term structure 125 2Data The database we use in this research contains daily volume-weighted averages ...

126 A. D ́ıaz, F. Jare ̃no, and E. Navarro 0.06 0.07 0.08 0.09 0.1 0.11 0.12 0246810121416 term to maturity NS(O) NS(G) more dif ...

Estimating the volatility term structure 127 Taking into account a great variety of models (GARCH, ARCH-M, TGARCH, EGARCH ...), ...

128 A. D ́ıaz, F. Jare ̃no, and E. Navarro In order to improve our analysis, we proceed to measure the average differences betwe ...

Estimating the volatility term structure 129 Ta b le 2 .Main results of the principal component analysis NSO NSG VFO VFG GNSO GN ...

130 A. D ́ıaz, F. Jare ̃no, and E. Navarro Ta b le 3 .Tests of equality of means, medians and variances among different models T ...

Estimating the volatility term structure 131 significantly different in mean and median among our eight models. Nevertheless, PC ...

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Exact and approximated option pricing in a stochastic volatility jump-diffusion model Fernanda D’Ippoliti, Enrico Moretto, Sara ...

134 F. D’Ippoliti et al. jumps that contains two diffusion terms: the first has constant volatility, as in the Black and Scholes ...

Exact and approximated option pricing 135 counting processN(t). The instantaneous correlation betweenSandv,whenajump does not oc ...

136 F. D’Ippoliti et al. 4 Generating sample paths Following [5, 6], we now give a Monte Carlo simulation estimator to compute o ...

Exact and approximated option pricing 137 Using (8) and (9), the valueS(ti)givenS(ti− 1 )can be written as S(ti)=S(ti− 1 )βiexp ...

138 F. D’Ippoliti et al. The expressionf(X) g′p(x) gp(x)is an unbiased estimator ofα ′(p)and the quantityg ′p(x) gp(x)is called ...

Exact and approximated option pricing 139 6 Numerical results In this section, we apply our model to the DJ Euro Stoxx 50 market ...

140 F. D’Ippoliti et al. Ta b le 2 .Comparison among prices of European options with spot priceS( 0 )= 4116 .40, time to maturit ...

Exact and approximated option pricing 141 Finally, Table 4 reports delta and gamma for European and barrier options for differen ...

142 F. D’Ippoliti et al. Black, F., Scholes, M.: The pricing of options and corporate liabilities. J. Pol. Econ. 81, 637–654 (1 ...

A skewed GARCH-type model for multivariate financial time series Cinzia Franceschini and Nicola Loperfido Abstract.Skewness of a ...