Search results for " volatility"

showing 3 items of 113 documents

Iterative Methods for Pricing American Options under the Bates Model

2013

We consider the numerical pricing of American options under the Bates model which adds log-normally distributed jumps for the asset value to the Heston stochastic volatility model. A linear complementarity problem (LCP) is formulated where partial derivatives are discretized using finite differences and the integral resulting from the jumps is evaluated using simple quadrature. A rapidly converging fixed point iteration is described for the LCP, where each iterate requires the solution of an LCP. These are easily solved using a projected algebraic multigrid (PAMG) method. The numerical experiments demonstrate the efficiency of the proposed approach. Furthermore, they show that the PAMG meth…

ta113Mathematical optimizationStochastic volatilityDiscretizationIterative methodComputer scienceFinite difference methodLinear complementarity problemIterative methodQuadrature (mathematics)Multigrid methodFixed-point iterationBates modelLinear complementarity problemGeneral Earth and Planetary SciencesPartial derivativeAmerican optionGeneral Environmental ScienceProcedia Computer Science
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Does corn market uncertainty impact the US ethanol prices?

2018

The growing interest in biofuel as a green energy source has intensified the linkages between corn and ethanol markets, especially in the United States that represents the largest producing and exporting country for ethanol in the world. In this study, we examine the effect of corn market uncertainty on the price changes of US ethanol applying a set of GARCH-jump models. We find that the US ethanol price changes react positively to the corn market volatility shocks after controlling for the effect of oil price uncertainty. In addition, we document that the impact of corn price volatility on the US ethanol prices appears to be asymmetric. Specifically, only the positive corn market volatilit…

ta520maissiNaturgeografietanoliNatural resource economics020209 energyoil price volatility02 engineering and technologyöljyvolatility shockshintakehitysvolatiliteetti0202 electrical engineering electronic engineering information engineeringEconomicsbiopolttoaineetWaste Management and Disposalta512corn price uncertaintyhealth care economics and organizationsGARCH–jump modelRenewable Energy Sustainability and the EnvironmentMarket uncertaintybusiness.industryasymmetry; corn price uncertainty; GARCH-jump model; oil price volatility; US ethanol market; volatility shocksfood and beveragesForestrybiofuelsRenewable energyPhysical GeographyBiofuelasymmetriahinnatbusinessUS ethanol marketAgronomy and Crop ScienceasymmetryGlobal Change Biology Bioenergy
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Testing explosive bubbles with time-varying volatility: the case of Spanish public debt

2023

In this paper the dynamics of the Spanish public debt-GDP ratio is analysed during the period 1850–2021. We use recent procedures to test for explosive bubbles in the presence under time- varying volatility (Harvey et al., 2016; Harvey et al., 2019, 2020; Kurozumi et al., 2022) in order to test the explosive behavior of Spanish public debt over this long period. We extend previous analysis of Esteve and Prats (2022) where assume constant unconditional volatility in the underlying error process.

time-varying volatilityHG Financeexplosive autoregressionrational bubblepublic debtJ Political ScienceUNESCO::CIENCIAS ECONÓMICASHJ Public Financeright-tailed unit root testingFinance
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