Symposium on stochastic volatility: an introductory overview

DOI10.1007/S10436-010-0162-6MaRDI QIDQ470512zbMATHOpenAlexFDO

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)

Recommendations

• Inference and computation for stochastic volatility models related to option pricing
• Stochastic volatility models with application in option pricing
• The pricing of options on assets with stochastic volatilities
• Stochastic Volatility: Origins and Overview
• Option pricing with stochastic volatility models.

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

This page was built for publication: Symposium on stochastic volatility: an introductory overview

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q470512)