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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Revision as of 10:23, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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