Sentences with phrase «stochastic volatility»
Although the equation can not be directly used in valuing options on LETFs, it shows the necessity of using stochastic volatility models since dynamic variance is an important component of the return of LETFs.11
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Extending this framework to include stochastic volatility — such as in the variance gamma model — is trivial given our previous work on the subject Deng et al (2013), and would not change the qualitative results.
Not exact matches
The stochastic discount factor is time varying and by just the right amount to explain the variance in returns (and the high volatility of the stock market).
The Technicals tool provides an overview of key technical indicators like moving averages for prices and volumes, as well as stochastics, relative strength and volatility across multiple time periods.
Indicators: Stochastic Oscillator with default settings, Fisher indicator Preferred time frame (s): 1 min Trading sessions: Any Preferred Currency pairs: Low spread pairs (EUR / USD, GBP / USD, USD / JPY, AUD / USD,...) with medium to high volatility.