Modelling the stochastic dynamics of volatility for equity indices

DOI10.1023/A:1016216432647MaRDI QIDQ1415625zbMATH OpenOpenAlexFDO

Authors Eckhard Platen, David Heath, Simon R. Hurst

Publication date 9 December 2003

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1016216432647

zbMATH Keywords

incomplete marketoption prices

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Economic growth models (91B62) Stochastic models in economics (91B70)

Recommendations

• The dynamics of stochastic volatility: evidence from underlying and options markets
• Stochastic Volatility Models and Option Prices
• Complete Models with Stochastic Volatility
• A market model for stochastic implied volatility
• Stochastic implied volatility. A factor-based model.

Cited in

(17)

• Modeling the BUX index by a novel stochastic differential equation
• Random volatility and option prices with the generalized Student-\(t\) distribution
• A PARSIMONIOUS CONTINUOUS TIME MODEL OF EQUITY INDEX RETURNS: INFERRED FROM HIGH FREQUENCY DATA
• Estimating stochastic volatility: the rough side to equity returns
• Deterministic volatility models and dynamics of option returns
• scientific article; zbMATH DE number 5847056 (Why is no real title available?)
• Volatility of volatility of financial markets
• Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)
• Stochastic equity volatility and the capital structure of the firm
• The dynamics of stochastic volatility: evidence from underlying and options markets
• Understanding the implied volatility surface for options on a diversified index
• Volatility in financial markets: Stochastic models and empirical results
• Stochastic volatility models: faking a smile
• scientific article; zbMATH DE number 1836454 (Why is no real title available?)
• An intensity-based approach for equity modeling
• Estimating dynamic equilibrium models with stochastic volatility
• Approaches to forecasting volatility: Models and their performances for emerging equity markets

This page was built for publication: Modelling the stochastic dynamics of volatility for equity indices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1415625)