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X-WR-CALDESC:Events for Mathematical Finance
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DTSTART:20250309T080000
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DTSTART;TZID=America/Chicago:20250418T120000
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DTSTAMP:20260521T184532
CREATED:20241216T174226Z
LAST-MODIFIED:20241216T174226Z
UID:1690-1744977600-1744981200@www.math.ttu.edu
SUMMARY:Option pricing in a stochastic delay volatility model
DESCRIPTION:Speaker: Prof. Álvaro Guinea Julia\, Dept. Industrial Org.\, Comillas Pontifical University ICADE-ICAI\, Madrid \nAbstract: This work introduces a new stochastic volatility model with delay parameters in the volatility process\, extending the Barndorff–Nielsen and Shephard model. It establishes an analytical expression for the log price characteristic function\, which can be applied to price European options. Empirical analysis on S&P500 European call options shows that adding delay parameters reduces mean squared error. This is the first instance of providing an analytical formula for the log price characteristic function in a stochastic volatility model with multiple delay parameters. We also provide a Monte Carlo scheme that can be used to simulate the model.
URL:https://www.math.ttu.edu/mathematicalfinance/event/option-pricing-in-a-stochastic-delay-volatility-model/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/12/julia.jpg
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