An empirical comparison of two stochastic volatility models using Indian market data
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Publication:370874
DOI10.1007/S10690-013-9166-3zbMATH Open1273.91439OpenAlexW1966106753MaRDI QIDQ370874FDOQ370874
Authors: Srikanth K. Iyer, Seema Nanda, Swapnil Kumar 
Publication date: 20 September 2013
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-013-9166-3
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Cites Work
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- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A guided tour through quadratic hedging approaches
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- Stock price distributions with stochastic volatility: an analytic approach
- Risk minimization in stochastic volatility models: model risk and empirical performance
- Dynamic hedging of portfolio credit derivatives
- Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market
- Risk Minimizing Option Pricing in a Regime Switching Market
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