Methodology for stochastic volatility process calibration application to the CAC 40 index
From MaRDI portal
Publication:4922640
DOI10.1080/00949655.2011.614615zbMath1278.91117MaRDI QIDQ4922640
Publication date: 3 June 2013
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2011.614615
stochastic volatility; calibration; implicit volatility; Heston process; adjustment test; CAC 40 index option
60G51: Processes with independent increments; Lévy processes
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
91B70: Stochastic models in economics
91G20: Derivative securities (option pricing, hedging, etc.)
Cites Work
- The Pricing of Options and Corporate Liabilities
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- Martingales and stochastic integrals in the theory of continuous trading
- Passage to the Limit under the Information and Entropy Signs
- An Intertemporal General Equilibrium Model of Asset Prices
- 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