The Heston stochastic volatility model for single assets and for asset portfolios: parameter estimation and an application to the Italian financial market
Luca Vincenzo Ballestra; Roberto Ferri; Graziella Pacelli
Year of publication: |
2007
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Authors: | Ballestra, Luca Vincenzo ; Ferri, Roberto ; Pacelli, Graziella |
Published in: |
The international journal of business and finance research : IJBFR. - Hilo, Hawaii : IBFR, ISSN 1931-0269, ZDB-ID 2536566-6. - Vol. 1.2007, 2, p. 11-23
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Subject: | Volatilität | Volatility | Italien | Italy | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Schätzung | Estimation | Finanzmarkt | Financial market | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory |
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