Symposium on stochastic volatility: an introductory overview

DOI10.1007/S10436-010-0162-6MaRDI QIDQ470512zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(4)

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

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