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Stochastic Elasticity of Variance, the Global Financial Crisis and Implied Volatility

Kim, Jeong-Hoon

Lecture notes in engineering and computer science, 2019, Vol.2240, p.228

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Título:
Stochastic Elasticity of Variance, the Global Financial Crisis and Implied Volatility
Autor: Kim, Jeong-Hoon
Assuntos: Crashes ; Economic crisis ; Economic models ; Elasticity ; International finance ; Variations ; Volatility
É parte de: Lecture notes in engineering and computer science, 2019, Vol.2240, p.228
Descrição: Based on recent financial crises, it is desirable to develop a volatility model appropriate for dynamic markets experiencing sharp crashes. We observe that elasticity of variance of stock or index is randomly fluctuating around a mean level and the mean level itself is time varying contrary to the conventional assumption of constant elasticity of variance. This paper shows how useful the concept called stochastic elasticity of variance is to characterize the global financial crisis. Also, the valuation result for a financial derivative is presented in terms of implied volatility.
Editor: Hong Kong: International Association of Engineers
Idioma: Inglês

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