Consistent Inter-Model Specification for Time-Homogeneous SPX Stochastic Volatility and VIX Market Models
Year of publication: |
2018
|
---|---|
Authors: | Papanicolaou, Andrew |
Publisher: |
[2018]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Börsenkurs | Share price |
Extent: | 1 Online-Ressource (31 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 23, 2018 erstellt |
Other identifiers: | 10.2139/ssrn.3238195 [DOI] |
Classification: | C51 - Model Construction and Estimation |
Source: | ECONIS - Online Catalogue of the ZBW |
-
A New Heston Based Stochastic Volatility Model for Stock Price and Option Pricing
Pang, Huadong (Henry), (2010)
-
Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models
Todorov, Viktor, (2010)
-
An Artificial Neural Network Representation of the SABR Stochastic Volatility Model
McGhee, William A, (2018)
- More ...
-
Backward SDEs for control with partial information
Papanicolaou, Andrew, (2018)
-
Implied filtering densities on the hidden state of stochastic volatility
Fuertes, Carlos, (2014)
-
Filtering for Fast Mean-Reverting Processes
Papanicolaou, Andrew, (2013)
- More ...