INFORMATION-THEORETIC ANALYSIS OF STOCHASTIC VOLATILITY MODELS

DOI10.1142/S021952591850025XOpenAlexW2909165290WikidataQ128592192 ScholiaQ128592192MaRDI QIDQ6203301FDOQ6203301

Authors: Oliver Pfante, Nils Bertschinger 

Publication date: 27 March 2024

Published in: Advances in Complex Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021952591850025x

zbMATH Keywords

Bayesian analysisinformation theorystochastic volatility

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• The Heston model and its extensions in Matlab and C\#. With a foreword by Steven L. Heston
• Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model
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• Probability distribution of returns in the Heston model with stochastic volatility
• Full and fast calibration of the Heston stochastic volatility model
• Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model
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