Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Year of publication: |
March 2018
|
---|---|
Authors: | Bianchi, Michele Leonardo ; Račev, Svetlozar T. ; Fabozzi, Frank J. |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 51.2018, 3, p. 339-378
|
Subject: | Volatility smile | Stochastic volatility models | GARCH model | Non-Gaussian Ornstein-Uhlenbeck processes | Lévy processes | Tempered stable processes and distributions | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Italien | Italy | Modellierung | Scientific modelling | Statistische Verteilung | Statistical distribution | Zeitreihenanalyse | Time series analysis |
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