Economy – Quantitative Finance – Pricing of Securities

Scientific paper

[
0.00
] – not rated yet
Voters
0
Comments 0

2010-09-26

Economy

Quantitative Finance

Pricing of Securities

9 pages, 4 figures, submitted

Scientific paper

We study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model. To be more specific, we consider the conditional expectation of variance (square of volatility) under fixed stock price return as a function of the return and time. The behavior of this function depends on the initial stock price return distribution density. In particular, we show that the graph of the conditional expectation of variance is convex downwards near the mean value of the stock price return. For the Gaussian distribution this effect is strong, but it weakens and becomes negligible as the decay of distribution at infinity slows down.

**Martynov Mikhail**

Economy – Quantitative Finance – Pricing of Securities

Scientist

**Rozanova Olga**

Mathematics – Analysis of PDEs

Scientist

No associations

LandOfFree

If you have personal experience with

A certain estimate of volatility through return for stochastic volatility modelsdoes not yet have a rating. At this time, there are no reviews or comments for this scientific paper.A certain estimate of volatility through return for stochastic volatility models, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A certain estimate of volatility through return for stochastic volatility models will most certainly appreciate the feedback.

Profile ID: LFWR-SCP-O-517068

Use Google custom search:

All data on this website is collected from public sources.
Our data reflects the most accurate information available at the time of publication.