Some recent developments in stochastic volatility modelling
This paper reviews and puts in context some of our recent work on stochastic volatility (SV) modelling for financial economics. Here our main focus is on: (i) the relationship between subordination and SV, (ii) OU based volatility models, (iii) exact option pricing, (iv) realized power variation and...
| Autors principals: | , , |
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| Format: | Journal article |
| Idioma: | English |
| Publicat: |
IOP Publishing Ltd
2002
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| Matèries: |