Robustness and sensitivity analyses for rough Volterra stochastic volatility models
In this paper, we analyze the robustness and sensitivity of various continuous-time rough Volterra stochastic volatility models in relation to the process of market calibration. Model robustness is examined from two perspectives: the sensitivity of option price estimates and the sensitivity of parameter estimates to changes in the option data structure. The following sensitivity analysis consists of statistical tests to determine whether a given studied model is sensitive to changes in the option data structure based on the distribution of parameter estimates. Empirical study is performed on a data set consisting of Apple Inc. equity options traded on four different days in April and May 2015. In particular, the results for RFSV, rBergomi and $\alpha$RFSV models are provided and compared to the results for Heston, Bates, and AFSVJD models.
Code (0)
등록된 구현이 없습니다.
Tasks
SensitivitySimilar Papers 제목 키워드 기반
Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure
In this paper we perform robustness and sensitivity analysis of several continuous-time stochastic volatility (SV) models with respect to the process of market calibration. The analyses should validate the hypothesis on …
SensitivityDamage detection in an uncertain nonlinear beam based on stochastic Volterra series: an experimental application
The damage detection problem becomes a more difficult task when the intrinsically nonlinear behavior of the structures and the natural data variation are considered in the analysis because both phenomena can be confused …
Cantilever BeamNovelty DetectionMarkovian approximations of stochastic Volterra equations with the fractional kernel
We consider rough stochastic volatility models where the variance process satisfies a stochastic Volterra equation with the fractional kernel, as in the rough Bergomi and the rough Heston model. In particular, the varian…
Robustness Analysis of the Data-Selective Volterra NLMS Algorithm
Recently, the data-selective adaptive Volterra filters have been proposed; however, up to now, there are not any theoretical analyses on its behavior rather than numerical simulations. Therefore, in this paper, we analyz…
parameter estimationComputation of Greeks under rough Volterra stochastic volatility models using the Malliavin calculus approach
Using Malliavin calculus techniques we obtain formulas for computing Greeks under different rough Volterra stochastic volatility models. In particular we obtain formulas for rough versions of Stein-Stein, SABR and Bergom…