The dynamics of stochastic volatility: evidence from underlying and options markets

DOI10.1016/S0304-4076(03)00107-6zbMath1016.62122MaRDI QIDQ1398978

Christopher S. Jones

Publication date: 7 August 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Bayesian analysis; stochastic volatility; option pricing; continuous-time estimation; stock market crashes

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62P05: Applications of statistics to actuarial sciences and financial mathematics

62M99: Inference from stochastic processes

91G20: Derivative securities (option pricing, hedging, etc.)

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