MEAN-REVERTING STOCHASTIC VOLATILITY (Q3523547): Difference between revisions

@@ Property / author @@
-George S. Papanicolaou
@@ Property / author: George S. Papanicolaou / rank @@
-Normal rank
@@ Property / author @@
+George S. Papanicolaou
@@ Property / author: George S. Papanicolaou / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Calibrating volatility surfaces via relative-entropy minimization
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Adaptive covariance estimation of locally stationary processes
+Normal rank
@@ Property / cites work @@
+ARCH models as diffusion approximations
@@ Property / cites work: ARCH models as diffusion approximations / rank @@
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
+Normal rank
@@ Property / cites work @@
+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
+Normal rank
@@ Property / cites work @@
+A Risk-Neutral Stochastic Volatility Model
@@ Property / cites work: A Risk-Neutral Stochastic Volatility Model / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1142/s0219024900000061
+Normal rank
@@ Property / OpenAlex ID @@
+W1992598907
@@ Property / OpenAlex ID: W1992598907 / rank @@
+Normal rank