Volatility in financial markets: Stochastic models and empirical results (Q1850396): Difference between revisions
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| Property / author: Rosario Nunzio Mantegna / rank | |||
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / arXiv ID: cond-mat/0202527 / rank | |||
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| Property / cites work: Q4794126 / rank | |||
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| Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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| Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank | |||
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| Property / cites work: Power laws in economics and finance: some ideas from physics / rank | |||
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| Property / OpenAlex ID: W2045967365 / rank | |||
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Latest revision as of 10:55, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Volatility in financial markets: Stochastic models and empirical results |
scientific article |
Statements
Volatility in financial markets: Stochastic models and empirical results (English)
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3 December 2002
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probability density function
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lognormal model
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Hull and White model
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