Some recent developments in stochastic volatility modelling.
This paper reviews and puts in context some of our recent work on stochastic volatility modelling for financial economics. Here our main focus is on: (i) the relationship between subordination and stochastic volatility, (ii) OU based volatility models, (iii) exact option pricing, (iv) realised power...
| Main Authors: | , , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Nuffield College (University of Oxford)
2001
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