MEAN-REVERTING STOCHASTIC VOLATILITY (Q3523547)

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Language	Label	Description	Also known as
English	MEAN-REVERTING STOCHASTIC VOLATILITY	scientific article

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scholarly article

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MEAN-REVERTING STOCHASTIC VOLATILITY (English)

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zbMATH Open document ID

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10.1142/S0219024900000061

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Jean-Pierre Fouque

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George S. Papanicolaou

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International Journal of Theoretical and Applied Finance

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publication date

3 September 2008

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Mathematics Subject Classification ID

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zbMATH DE Number

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MaRDI publication profile

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Calibrating volatility surfaces via relative-entropy minimization

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Adaptive covariance estimation of locally stationary processes

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ARCH models as diffusion approximations

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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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Stock Price Distributions with Stochastic Volatility: An Analytic Approach

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A Risk-Neutral Stochastic Volatility Model

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full work available at URL

https://doi.org/10.1142/s0219024900000061

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mardi Publication:3523547

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