Stochastic Volatility: Origins and Overview (Q3646956)

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Stochastic Volatility: Origins and Overview
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    title
    Stochastic Volatility: Origins and Overview (English)
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    author
    Neil Shephard
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    Torben G. Andersen
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    publication date
    27 November 2009
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    Mathematics Subject Classification ID
    91G70
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    91-02
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    91G60
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    91G20
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    zbMATH DE Number
    5640037
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    zbMATH Keywords
    stochastic volatility
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    MCMC
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    ARMA-GARCH
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    options
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    realized volatility
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    OpenAlex ID
    W2130849921
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