INFORMATION-THEORETIC ANALYSIS OF STOCHASTIC VOLATILITY MODELS
From MaRDI portal
Publication:6203301
Cites work
- scientific article; zbMATH DE number 1091847 (Why is no real title available?)
- scientific article; zbMATH DE number 2061729 (Why is no real title available?)
- scientific article; zbMATH DE number 1505858 (Why is no real title available?)
- A Mathematical Theory of Communication
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Alternative models for stock price dynamics.
- Elements of Information Theory
- Full and fast calibration of the Heston stochastic volatility model
- Gaussian processes for machine learning.
- Long-Term Memory in Stock Market Prices
- Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
- Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model
- Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model
- Probability distribution of returns in the Heston model with stochastic volatility
- Stochastic volatility as a simple generator of apparent financial power laws and long memory
- The Heston model and its extensions in Matlab and C\#. With a foreword by Steven L. Heston
- The pricing of options and corporate liabilities
- Theory of Financial Risk and Derivative Pricing
This page was built for publication: INFORMATION-THEORETIC ANALYSIS OF STOCHASTIC VOLATILITY MODELS
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6203301)
