Modelling the stochastic dynamics of volatility for equity indices

DOI10.1023/A:1016216432647zbMath1054.91037OpenAlexW3121317854MaRDI QIDQ1415625

Eckhard Platen, Simon R. Hurst, David C. Heath

Publication date: 9 December 2003

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1016216432647

zbMATH Keywords

incomplete marketoption prices

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Economic growth models (91B62) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Understanding the implied volatility surface for options on a diversified index

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