scholarly journals Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect

2016 ◽  
Vol 438 (2) ◽  
pp. 1010-1029 ◽  
Author(s):  
Chenxi Liang ◽  
Shenghong Li
Keyword(s):  
Stochastic Volatility ◽  
Leverage Effect ◽  
Stochastic Volatility Models ◽  
Volatility Models

scholarly journals A note on calculating expected shortfall for discrete time stochastic volatility models

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Michael Grabchak ◽  
Eliana Christou
Keyword(s):  
Monte Carlo ◽  
Stochastic Volatility ◽  
Discrete Time ◽  
Monte Carlo Methods ◽  
Expected Shortfall ◽  
Leverage Effect ◽  
Stochastic Volatility Models ◽  
Volatility Models ◽  
Empirical Analyses

AbstractIn this paper we consider the problem of estimating expected shortfall (ES) for discrete time stochastic volatility (SV) models. Specifically, we develop Monte Carlo methods to evaluate ES for a variety of commonly used SV models. This includes both models where the innovations are independent of the volatility and where there is dependence. This dependence aims to capture the well-known leverage effect. The performance of our Monte Carlo methods is analyzed through simulations and empirical analyses of four major US indices.

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