Affine fractional stochastic volatility models (Q470522): Difference between revisions

@@ Property / author @@
+Sumit K. Garg
@@ Property / author: Sumit K. Garg / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H30
@@ Property / Mathematics Subject Classification ID: 60H30 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G22
@@ Property / Mathematics Subject Classification ID: 60G22 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+M09
@@ Property / Mathematics Subject Classification ID: 62M09 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+B70
@@ Property / Mathematics Subject Classification ID: 91B70 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
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@@ Property / zbMATH DE Number @@
+6368840
@@ Property / zbMATH DE Number: 6368840 / rank @@
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@@ Property / zbMATH Keywords @@
+fractional integrals
@@ Property / zbMATH Keywords: fractional integrals / rank @@
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@@ Property / zbMATH Keywords @@
+long memory processes
@@ Property / zbMATH Keywords: long memory processes / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+integrated volatility
@@ Property / zbMATH Keywords: integrated volatility / rank @@
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@@ Property / zbMATH Keywords @@
+option pricing
@@ Property / zbMATH Keywords: option pricing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic volatility
@@ Property / zbMATH Keywords: stochastic volatility / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10436-010-0165-3
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@@ Property / OpenAlex ID @@
+W2028867268
@@ Property / OpenAlex ID: W2028867268 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
+Normal rank
@@ Property / cites work @@
+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
+Normal rank
@@ Property / cites work @@
+Q5447122
@@ Property / cites work: Q5447122 / rank @@
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Long-term equity anticipation securities and stock market volatility dynamics
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+Intégrale stochastique pour le mouvement brownien fractionnaire
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+Approximation of some processes
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@@ Property / cites work @@
+A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
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+Long memory continuous time models
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+Normal rank
@@ Property / cites work @@
+Long memory in continuous-time stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Approximation of the fractional Brownian sheet<i>VIA</i>Ornstein-Uhlenbeck sheet
+Normal rank
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+An Intertemporal General Equilibrium Model of Asset Prices
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+Two singular diffusion problems
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+BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
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+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION
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+Consistency conditions for affine term structure models II. Option pricing under diffusions with embdded jumps
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
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+Semiparametric analysis of long-memory time series
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+Q4868517
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+Contingent Claims and Market Completeness in a Stochastic Volatility Model
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+Q3141895
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+Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
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+NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
@@ Property / cites work: NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION / rank @@
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@@ Property / cites work @@
+Implied and realized volatility: empirical model selection
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@@ links / mardi / name / links / mardi / name @@
+Publication:470522