Discussions on continuous stochastic volatility models
Stochastic volatility (SV) models are substantial for financial markets and decision making because they can capture the effect of time varying volatility. There are two ways to describe SV; in discrete time setting and continuous time setting. Since the intuitive setting for market trading is norma...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MUK PUBLICATIONS
2020
|
| Subjects: | |
| Online Access: | https://repo.uum.edu.my/id/eprint/27913/1/GSA%207%201%202020%2055%2064.pdf |
| _version_ | 1825805713830576128 |
|---|---|
| author | Alhagyan, Mohammed Misiran, Masnita Omar, Zurni |
| author_facet | Alhagyan, Mohammed Misiran, Masnita Omar, Zurni |
| author_sort | Alhagyan, Mohammed |
| collection | UUM |
| description | Stochastic volatility (SV) models are substantial for financial markets and decision making because they can capture the effect of time varying volatility. There are two ways to describe SV; in discrete time setting and continuous time setting. Since the intuitive setting for market trading is normally continuous, it is natural to focus on studying a continuous time setting in a financial environment. In this paper, we review and discuss the
most important financial models of continuous stochastic volatility via highlight the advantages and the disadvantages of each one. |
| first_indexed | 2024-07-04T06:36:46Z |
| format | Article |
| id | uum-27913 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T06:36:46Z |
| publishDate | 2020 |
| publisher | MUK PUBLICATIONS |
| record_format | eprints |
| spelling | uum-279132020-11-25T00:58:09Z https://repo.uum.edu.my/id/eprint/27913/ Discussions on continuous stochastic volatility models Alhagyan, Mohammed Misiran, Masnita Omar, Zurni QA75 Electronic computers. Computer science Stochastic volatility (SV) models are substantial for financial markets and decision making because they can capture the effect of time varying volatility. There are two ways to describe SV; in discrete time setting and continuous time setting. Since the intuitive setting for market trading is normally continuous, it is natural to focus on studying a continuous time setting in a financial environment. In this paper, we review and discuss the most important financial models of continuous stochastic volatility via highlight the advantages and the disadvantages of each one. MUK PUBLICATIONS 2020 Article PeerReviewed application/pdf en https://repo.uum.edu.my/id/eprint/27913/1/GSA%207%201%202020%2055%2064.pdf Alhagyan, Mohammed and Misiran, Masnita and Omar, Zurni (2020) Discussions on continuous stochastic volatility models. Global and Stochastic Analysis, 7 (1). pp. 55-64. ISSN 22489444 https://www.mukpublications.com/gsa-7-1-2020.php |
| spellingShingle | QA75 Electronic computers. Computer science Alhagyan, Mohammed Misiran, Masnita Omar, Zurni Discussions on continuous stochastic volatility models |
| title | Discussions on continuous stochastic volatility models |
| title_full | Discussions on continuous stochastic volatility models |
| title_fullStr | Discussions on continuous stochastic volatility models |
| title_full_unstemmed | Discussions on continuous stochastic volatility models |
| title_short | Discussions on continuous stochastic volatility models |
| title_sort | discussions on continuous stochastic volatility models |
| topic | QA75 Electronic computers. Computer science |
| url | https://repo.uum.edu.my/id/eprint/27913/1/GSA%207%201%202020%2055%2064.pdf |
| work_keys_str_mv | AT alhagyanmohammed discussionsoncontinuousstochasticvolatilitymodels AT misiranmasnita discussionsoncontinuousstochasticvolatilitymodels AT omarzurni discussionsoncontinuousstochasticvolatilitymodels |