MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY

DOI10.1111/j.1467-9965.1994.tb00057.xzbMath0884.90054OpenAlexW2001772055MaRDI QIDQ4372033

Stephen J. Taylor

Publication date: 21 January 1998

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1994.tb00057.x

zbMATH Keywords

stochastic volatilityconditional heteroskedasticityexchange ratesvolatibility persistence

Mathematics Subject Classification ID

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• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
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