On basic price model and volatility in multiple frequencies

Mustafa U. Torun; Ali Akansu

doi:10.1109/SSP.2011.5967731

On basic price model and volatility in multiple frequencies

Mustafa U. Torun, Ali Akansu

Electrical and Computer Engineering

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

4 Scopus citations

Abstract

This paper revisits volatility and emphasizes interrelationships of risk metrics at various time horizons expressed in multiple frequencies. The basic price model defined by Black-Scholes equation and its extensions for varying variance scenarios are presented, i.e. Heston and GARCH models. Moreover, we highlight the significance of abrupt changes in the price of an asset on price modeling and volatility estimation. We extend basic price model where price jumps are taken into account as well. The proposed approach is validated by simulations, and shown that it improves volatility estimation.

Original language	English (US)
Title of host publication	2011 IEEE Statistical Signal Processing Workshop, SSP 2011
Pages	45-48
Number of pages	4
DOIs	https://doi.org/10.1109/SSP.2011.5967731
State	Published - Sep 5 2011
Event	2011 IEEE Statistical Signal Processing Workshop, SSP 2011 - Nice, France Duration: Jun 28 2011 → Jun 30 2011

Other

Other	2011 IEEE Statistical Signal Processing Workshop, SSP 2011
Country/Territory	France
City	Nice
Period	6/28/11 → 6/30/11

All Science Journal Classification (ASJC) codes

Electrical and Electronic Engineering
Applied Mathematics
Signal Processing
Computer Science Applications

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10.1109/SSP.2011.5967731

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title = "On basic price model and volatility in multiple frequencies",

abstract = "This paper revisits volatility and emphasizes interrelationships of risk metrics at various time horizons expressed in multiple frequencies. The basic price model defined by Black-Scholes equation and its extensions for varying variance scenarios are presented, i.e. Heston and GARCH models. Moreover, we highlight the significance of abrupt changes in the price of an asset on price modeling and volatility estimation. We extend basic price model where price jumps are taken into account as well. The proposed approach is validated by simulations, and shown that it improves volatility estimation.",

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AU - Akansu, Ali

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AB - This paper revisits volatility and emphasizes interrelationships of risk metrics at various time horizons expressed in multiple frequencies. The basic price model defined by Black-Scholes equation and its extensions for varying variance scenarios are presented, i.e. Heston and GARCH models. Moreover, we highlight the significance of abrupt changes in the price of an asset on price modeling and volatility estimation. We extend basic price model where price jumps are taken into account as well. The proposed approach is validated by simulations, and shown that it improves volatility estimation.

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M3 - Conference contribution

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BT - 2011 IEEE Statistical Signal Processing Workshop, SSP 2011

T2 - 2011 IEEE Statistical Signal Processing Workshop, SSP 2011

Y2 - 28 June 2011 through 30 June 2011

ER -

On basic price model and volatility in multiple frequencies

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