On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis
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Publication:1619987
DOI10.1016/J.PHYSA.2016.06.136zbMath1400.91668OpenAlexW2465441225MaRDI QIDQ1619987
Publication date: 13 November 2018
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2016.06.136
stochastic volatilitytime-changed Lévy processvolatility risk premiumequity index optionssquare-root unscented Kalman filter
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (1)
Cites Work
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