A tale of two volatilities

DOI10.1007/s11147-009-9038-1zbMath1188.91228OpenAlexW3122169406MaRDI QIDQ1037571

Dilip B. Madan

Publication date: 16 November 2009

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-009-9038-1

zbMATH Keywords

stochastic volatilityscalingLévy processskewnesstime changes

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (max. 100)

Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures ⋮ Building multivariate Sato models with linear dependence

Cites Work

• A Jump-Diffusion Model for Option Pricing
• Option pricing using variance gamma Markov chains
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Stochastic Volatility for Lévy Processes
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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