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

DOI10.1016/S0304-4076(03)00107-6zbMath1016.62122OpenAlexW2138349601MaRDI QIDQ1398978

Christopher S. Jones

Publication date: 7 August 2003

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00107-6

zbMATH Keywords

Bayesian analysisstochastic volatilityoption pricingcontinuous-time estimationstock market crashes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes (62M99) Derivative securities (option pricing, hedging, etc.) (91G20)

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