Stock price distributions with stochastic volatility: an analytic approach

DOI10.1093/RFS/4.4.727zbMATH Open1458.62253OpenAlexW2094206697MaRDI QIDQ5374083FDOQ5374083

Authors: Jeremy C. Stein, Elias M. Stein 

Publication date: 6 April 2018

Published in: Review of Financial Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/rfs/4.4.727

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60)

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• The Bickel-Rosenblatt test for continuous time stochastic volatility models
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