Barndorff-Nielsen, Ole E.; Nicolato, Elisa; Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2001
This paper reviews and puts in context some of our recent work on stochastic volatility modelling for financial economics. Here our main focus is on: (i) the relationship between subordination and stochastic volatility, (ii) OU based volatility models, (iii) exact option pricing, (iv) realised...