Volatility in financial markets: Stochastic models and empirical results

DOI10.1016/S0378-4371(02)01187-1zbMath1001.91032arXivcond-mat/0202527OpenAlexW2045967365MaRDI QIDQ1850396

Salvatore Miccichè, Fabrizio Lillo, Giovanni Bonanno, Rosario Nunzio Mantegna

Publication date: 3 December 2002

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0202527

zbMATH Keywords

probability density functionlognormal modelHull and White model

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Power laws in economics and finance: some ideas from physics
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Unnamed Item

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