Symposium on stochastic volatility: an introductory overview

DOI10.1007/S10436-010-0162-6zbMATH Open1298.00358OpenAlexW2087065879MaRDI QIDQ470512FDOQ470512

Authors: Frederi Viens 

Publication date: 12 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-010-0162-6

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zbMATH Keywords

estimationoption pricingcalibrationstochasticstochastic volatilitystock market

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Proceedings of conferences of miscellaneous specific interest (00B25) Proceedings, conferences, collections, etc. pertaining to probability theory (60-06) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06) Stochastic models in economics (91B70)

Cited In (4)

• Stochastic Volatility: Origins and Overview
• Estimation of parametric homogeneous stochastic volatility pricing formulae based on option data
• Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
• Inference and computation for stochastic volatility models related to option pricing

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