An empirical comparison of two stochastic volatility models using Indian market data (Q370874): Difference between revisions
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Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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Property / zbMATH DE Number: 6209845 / rank | |||
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option pricing | |||
Property / zbMATH Keywords: option pricing / rank | |||
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stochastic volatility | |||
Property / zbMATH Keywords: stochastic volatility / rank | |||
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mean reverting | |||
Property / zbMATH Keywords: mean reverting / rank | |||
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regime switching | |||
Property / zbMATH Keywords: regime switching / rank | |||
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risk minimizing | |||
Property / zbMATH Keywords: risk minimizing / rank | |||
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Property / full work available at URL: https://doi.org/10.1007/s10690-013-9166-3 / rank | |||
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Property / OpenAlex ID: W1966106753 / rank | |||
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Revision as of 01:10, 20 March 2024
scientific article
Language | Label | Description | Also known as |
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English | An empirical comparison of two stochastic volatility models using Indian market data |
scientific article |
Statements
An empirical comparison of two stochastic volatility models using Indian market data (English)
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20 September 2013
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option pricing
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stochastic volatility
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mean reverting
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regime switching
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risk minimizing
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