Stochastic Volatility with Heterogeneous Time Scales
Year of publication: |
2013
|
---|---|
Authors: | Delpini, Danilo |
Other Persons: | Bormetti, Giacomo (contributor) |
Publisher: |
[2013]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
Extent: | 1 Online-Ressource (21 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 31, 2012 erstellt |
Other identifiers: | 10.2139/ssrn.2071400 [DOI] |
Classification: | C32 - Time-Series Models ; C50 - Econometric Modeling. General |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Beyond Stochastic Volatility and Jumps in Returns and Volatility
Durham, Garland, (2015)
-
Izmailov, Alexander, (2015)
-
Izmailov, Alexander, (2015)
- More ...
-
OPTION PRICING UNDER ORNSTEIN-UHLENBECK STOCHASTIC VOLATILITY: A LINEAR MODEL
BORMETTI, GIACOMO, (2010)
-
Minimal model of financial stylized facts
Delpini, Danilo, (2010)
-
A Minimal Model of Financial Stylized Facts
Delpini, Danilo, (2010)
- More ...