Stochastic Volatility: Origins and Overview

DOI10.1007/978-3-540-71297-8_10zbMath1178.91233OpenAlexW2130849921MaRDI QIDQ3646956

Torben G. Andersen, Neil Shephard

Publication date: 27 November 2009

Published in: Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-71297-8_10

zbMATH Keywords

optionsstochastic volatilityMCMCrealized volatilityARMA-GARCH

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20)

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