Modelling the stochastic dynamics of volatility for equity indices

DOI10.1023/A:1016216432647zbMath1054.91037MaRDI QIDQ1415625

Eckhard Platen, Simon R. Hurst, David C. Heath

Publication date: 9 December 2003

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

zbMATH Keywords

incomplete market; option prices

Mathematics Subject Classification ID

91B70: Stochastic models in economics

91B62: Economic growth models

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