Computational analysis of the behavior of stochastic volatility models with financial applications

DOI10.1016/j.cam.2022.114258OpenAlexW4220670354MaRDI QIDQ2141573

Yanyan Li

Publication date: 25 May 2022

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2022.114258

zbMATH Keywords

stochastic volatilitylocal polynomial regressionempirical likelihoodnonparametric methodscomputational finance

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Derivative securities (option pricing, hedging, etc.) (91G20)

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